Market Performance
Most developed and emerging markets fell in December on an equal-weight basis. U.S. saw the weakest performance with prices falling by 6.3%, while Emerging Markets declined by 2.2%. Emerging Market underperformance was led by Brazil (-5.8%), followed by China (-4.8%), and Taiwan (-0.8%). Japan and Developed Europe saw prices rise by 2.8% and 1.9%.
Long-Short Performance
Looking at top-bottom decile spreads for December, MarketPsych Media Sentiment (MMS) and Intrinsic Value (IV) saw the greatest breadth with positive decile spreads in most regions.
Emerging Markets (EM) saw the strongest breadth, with positive decile spreads across all models in this region, including China, who saw the strongest performance within the region. In EM, StarMine added the most value in Earnings Quality (EQ), yielding an Information Coefficient (IC) of 0.2 compared to a benchmark of 0.0, the highest IC spread across all models and regions in December.
Long-Only Performance
When examining top decile performance on an absolute basis, Developed Europe stood out with positive performance across all models. Conversely, U.S. saw negative performance across all models (including benchmark equal-weight returns).
Compared to equal-weight returns, China exhibited positive relative performance across all models, albeit against a significantly weaker benchmark (-4.8%). Whereas Europe saw positive relative outperformance in all but two models, against a positive benchmark (+1.9%), making it more challenging to achieve.
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