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Encouraging vaccine news boosted equity markets worldwide, with
many major regional indexes notching solid double-digit monthly
gains. As investors looked beyond the virus on hopes of life
returning to normal in the coming year, coupled with reduced
uncertainty with the US election in the rear-view mirror, high risk
and beaten-down value stocks that would benefit from economic
growth outperformed (Table 1). Optimism for the economic recovery
taking hold was buttressed by the J.P.Morgan Global Manufacturing
PMI posting a 33-month high, furthered by firmer sentiment in
future output on vaccine hopes.
US: The high-risk trade was prominent in US markets, dragging
down measures that favor lower risk, including 60-Month Beta and
24-Month Value at Risk
Developed Europe: Traditional value measures of Book-to-Market
led the expanded rotation to value stocks
Developed Pacific: In markets outside Japan, 2-Year Ahead EPS
Growth was highly rewarded, while Short Sentiment signals including
Demand Supply Ratio and Implied Loan Rate outperformed in
Japan
Emerging markets: Investors favored undervalued and high-risk
names, gauged by Book-to-Market and 60-Month Beta,
respectively
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