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While concerns of a COVID-19 resurgence and the potential for
another round of shutdowns cast shadows on the global economic
recovery, investors remained optimistic for equities, contributing
to outperformance of higher risk names captured by 60-Month Beta
and 24-Month Value at Risk across each of our coverage universes
(Table 1). Investors put their hopes on vaccine developments and a
continuation of the US Federal Reserve's low rate policy as it
shifts to average inflation targeting. The recovery of the global
manufacturing sector also gathered pace in August for a second
month, following five consecutive declines, with the J.P.Morgan
Global Manufacturing PMI rising to a 21-month high.
US: While positive earnings revisions was a negative signal,
outperformance to 2-Year Ahead EPS Growth was particularly
pronounced for small caps, posting its highest spread for this
cohort since May 2003
Developed Europe: 60-Month Beta struggled last month as
investors sought higher risk names, a trend that has been in place
in general since April
Developed Pacific: Implied Loan Rate, a Short Sentiment
indicator measuring the cost of borrowing a stock, was a highly
rewarded indicator in markets outside Japan
Emerging markets: A broad set of styles were represented among
the weakest performing factors, including Demand Supply Ratio,
24-Month Value at Risk and Real Earnings Surprise
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