Market Performance
Performance was mostly positive in December on an equal-weight basis. Canada, Taiwan, and Developed Europe had the strongest performance with prices rising by 4.5%, 3.4%, and 2.9%, respectively. Hong Kong and Brazil, the only markets to see prices fall, declined by 2.0% and 1.1%, respectively.
Long-Short Performance
Value-Momentum (Val-Mo), a multi-factor model, delivered the strongest breadth with positive top-bottom decile spreads across all regions, led by U.K., Developed Europe, and Australia. Price Momentum (PMO) and Intrinsic Value (IV), underlying inputs to Val-Mo, also posted positive spreads across most regions. Emerging Markets delivered positive spreads across most models, including 5.9% for Analyst Revision Model (ARM). Information Coefficients exceeded 0.05 in eight of nine models.
Long-Only Performance
Most regions saw positive top-decile performance across all models, excluding Hong Kong. Canada was a clear standout, for the second consecutive month, with PMO and Val-Mo returning 8.8% and 6.4%, outperforming the equal-weight benchmark by 430 and 190 basis points, respectively. Relative to the equal-weight benchmark, Val-Mo and CAM exhibited the strongest breadth. U.K. saw broad outperformance across most models.
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