Global equities rallied in developed markets on an equal-weight basis in July but fell in most emerging markets. The U.S. saw the largest gain (+6.6%) followed by U.K. (+5.5%), Australia (+5.4%), Singapore (+4.7%), and Canada (+3.9%). Hong Kong saw prices fall by 4.5%, while Japan saw a decline of 1.6%. Korea, China, and Taiwan saw prices fall by 3.2%, 1.8%, and 1.5%, respectively.
Looking at top-bottom decile spreads for July, Price Momentum (PMO), Relative Value (RV), and Value-Momentum (Val-Mo) performed well in most markets. Intrinsic Value (IV) underperformed in most markets, most notably in Brazil, Developed Europe and U.K. In North America, Canada exhibited stronger 1-month decile spreads vs. U.S, except for RV and IV.
1-month decile spreads underperformed in most Emerging Markets countries. China showed negative decile spreads in each model with CAM underperforming (-8.8 ppt). Brazil was notably weak except for SH and MarketPsych Media Sentiment (MMS). India performed the best out of any region covered in this report with positive decile spreads in every model except for MMS.
When looking at longer-term performance, trailing twelve-month (TTM) decile spreads have been strong across all regions and models. Notably, PMO and Val-Mo are two models that have shown positive decile spreads across all regions.
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