Market Performance
Most developed markets rose in November on an equal-weight basis, apart from Europe, while most Emerging Markets fell. U.S. saw the strongest performance with prices rising by +9.3%, while Europe declined by 1.0%. Emerging Market underperformance was led by Korea (-5.3%), followed by Brazil (-2.8%), and Taiwan (-1.4%). China saw prices rise by 2.5%.
Long-Short Performance
Looking at top-bottom decile spreads for November, Analyst Revision Model (ARM) and Value-Momentum (Val-Mo) were amongst the strongest performing models with positive decile spreads in most regions.
Brazil and Korea saw the strongest breadth, with positive decile spreads across all models in Brazil. Only Price-Momentum (PMO) and MarketPsych Media Sentiment (MMS) saw negative spreads in Korea.
Long-Only Performance
When examining top decile performance on an absolute basis, U.S. and Japan displayed positive performance across all models.
Compared to equal-weight returns, performance was mixed with strong performance in Developed Europe and Japan, who both saw positive relative performance in every model. Val-Mo demonstrated the greatest breadth, with strong relative performance across most regions.
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