Market Performance
Performance was strong across all regions in June on an equal-weight basis, similar to May. Korea and Hong Kong saw the strongest performance with prices rising by 10.5% and 7.8%, while Brazil and Australia rose by 0.3% and 1.0%. In the US, small-caps outperformed large-caps by 310 basis points.
Long-Short Performance
Looking at top-bottom decile spreads for June, Relative Value (RV) and Intrinsic Value (IV) saw the greatest breadth with positive decile spreads in most regions and countries covered in this report. Conversely, our momentum models showed mixed performance with negative decile spreads in North America, Developed Europe, UK, and Developed Asia ex Japan.
On a regional basis, Brazil showed the strongest breadth, with positive decile spreads across all models, reaching as high as 11.4% and 10.9% for Price Momentum (PMO) and Smart Holdings (SH) respectively.
Long-Only Performance
Every region and country except for Australia showed positive top decile performance across all models.
Compared to equal-weight returns, Relative Value and Intrinsic Value exhibited the greatest breadth, with positive relative performance across most regions (compared to market equal-weight return).
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