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In a month of exciting and record-breaking competition during
the Tokyo Olympics, several chart-topping events affected global
markets and a broad representation of factors competed for the
monthly performance lead across regions (Table 1). US and European
equity markets continued to post all-time highs, though stocks
struggled in Asia as rising coronavirus cases, including daily
counts in the Japanese capital which topped earlier records, fueled
concerns on the strength of the global economic recovery. While the
J.P.Morgan Global Manufacturing PMI maintained a solid pace of
expansion, with gold, silver and bronze medals awarded to the
Netherlands, Germany and Austria and the US just shy of making the
podium, record supply chain constraints drove up input prices and
hindered growth.
US: A high level of risk aversion was evident in the market, as
confirmed by outperformance of signals such as 24-Month Value at
Risk and 60-Month Beta
Developed Europe: High quality firms were positively rewarded,
as gauged by measures including Change in TTM COGS vs Inventory
Level and Net Operating Asset Turnover
Developed Pacific: Deep Value factors outperformed in the
region, particularly in Japan where TTM EBITDA-to-Enterprise Value
took top honors
Emerging markets: Price Momentum measures remained positive
indicators, as confirmed by outperformance of Rational Decay Alpha
and Industry-adjusted 12-month Relative Price Strength
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