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While investors focused on the early stages of economic
recovery, supported by a three-year high in the J.P.Morgan Global
Manufacturing PMI, rising US Treasury yields triggered a late-month
global selloff in equity markets. The proposition of higher
borrowing costs and inflation expectations affected relative sector
performance and, in turn, factor performance for the month (Table
1).
US: Factors with high active exposure to the Energy and
Financial sectors outperformed, including 2-Year Ahead EPS Growth
and Book-to-Market, respectively
Developed Europe: Rational Decay Alpha and 24-Month Value at
Risk captured respective trades favoring low momentum shares at the
same time as high risk names
Developed Pacific: Book-to-Market remained a strong performer
in Japan, with this trade, in addition to underperformance of
Industry-adjusted 12-month Relative Price Strength, spilling over
to the broader region
Emerging markets: Industry-adjusted 12-month Relative Price
Strength outperformance was isolated to emerging markets
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