Market Performance
Most global and emerging market equities fell in October on an equal-weight basis, apart from North America. Canada saw prices rise by +1.8%, while the U.S. gained +1.0%. Hong Kong saw prices fall by 5.3%, while India saw a decline of 5.1%. Brazil, Korea, and Japan saw prices fall by 3.6%, 2.6%, and 2.5%, respectively.
Long-Short Performance
Looking at top-bottom decile spreads for October, Analyst Revision Model (ARM) was the strongest performing model with positive decile spreads in all regions except for Japan. Price Momentum (PMO), Value-Momentum (Val-Mo), and the Combined Alpha Model (CAM) performed well in most markets.
In Developed Asia ex. Japan, model performance was strongest in Hong Kong, with positive decile spreads across every model. In Hong Kong, ARM saw a one-month decile spread of +12.0 ppt, followed by PMO (+9.9 ppt), and Val-Mo (+6.0 ppt). Australia exhibited similar decile spreads in each of these models, exceeding Hong Kong in Val-Mo (+11.3 ppt).
Long-Only Performance
When examining top decile performance on an absolute basis, emerging markets displayed negative performance across all models. In contrast, developed markets showed stronger performance, particularly in ARM, PMO, and our multi-factor models, Val-Mo and CAM.
Compared to equal-weight returns, most models and regions delivered positive relative performance. ARM demonstrated the greatest breadth, with strong relative performance across all regions except Japan.
To download the full report – please click here.
