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Investors have mostly shrugged off inflation fears, however,
concerns surrounding rising delta variant cases and the potential
disruption of the global economic recovery has resulted in
variations in major equity market performance, such as that between
more restrained Asian stocks and new all-time highs in the US. The
continued solid upturn in the J.P.Morgan Global Manufacturing PMI
also saw regional variations, with extended strength in the
eurozone and the US, while Asia continued to underperform.
Investors reacted with variants in monthly factor performance by
taking on more risk and exposure to momentum stocks, while shunning
previously outperforming deep value shares across many regional
markets (Table 1).
US: Value measures such as Forward 12-M EPS-to-Enterprise Value
were particularly weak performers among large caps, while higher
risk small cap shares ranked in the bottom decile of 60-Month Beta
outperformed
Developed Europe: Investors tempered their optimism in high
momentum shares gauged by Rational Decay Alpha with low risk
exposure to names captured by 24-Month Value at Risk
Developed Pacific: High quality firms were especially rewarded,
as represented by Inventory Turnover Ratio
Emerging markets: Investors took on a renewed interest in high
momentum, high risk names, as confirmed by outperformance of
Rational Decay Alpha and underperformance of 24-Month Value at
Risk, respectively
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