| Value | Momentum | Quality | Size | Low volatility | Yield / Carry | |
|---|---|---|---|---|---|---|
| Relative performance (12 months to 31 March) | -7.0 | -5.4 | 1.0 | -7.7 | 1.4 | -0.3 |
| Relative performance (3 months to 31 March) | 2.2 | -1.3 | -3.1 | -0.9 | 2.4 | 4.3 |
| Relative performance (6 months to 30 June) | 5.2 | -3.9 | -4.2 | -2.1 | 8.2 | 9.9 |
Past performance is not a guarantee of future results. Source: https://www.msci.com/end-of-day-data-search. Indexes: ACWI, ACWI ENHANCED Value, ACWI MOMENTUM, ACWI QUALITY, ACWI SIZE TILT, ACWI MINIMUM VOLATILITY (USD), ACWI HIGH DIVIDEND YIELD. All in Gross USD terms. MSCI ACWI Index captures large and mid-cap representation across 23 Developed Markets (DM) and 24 Emerging Markets (EM) countries. MSCI ACWI Enhanced Value Index captures large and mid-cap representation across 23 DM countries and 25 EM countries exhibiting overall value style characteristics. MSCI ACWI Momentum Index includes large and mid-cap stocks across 23 DM and 24 EM countries that reflect the performance of an equity momentum strategy by emphasizing stocks with high price momentum. MSCI ACWI Quality Index includes large and mid-cap stocks across 23 DM and 24 EM countries that seek to capture the performance of quality growth stocks by identifying stocks with high quality scores based on three main fundamental variables: high return on equity (ROE), stable year-over-year earnings growth and low financial leverage. MSCI ACWI Size Tilt Index includes large and mid-cap stocks across 23 DM and 24 EM countries that seeks to reflect the performance of a low size strategy with relatively high investment capacity. MSCI ACWI Minimum Volatility Index aims to reflect the performance characteristics of a minimum variance strategy applied to large and mid-cap equities across 23 DM and 24 EM countries. MSCI ACWI High Dividend Yield Index includes large and mid-cap stocks across 23 DM and 24 EM countries that seek to reflect the performance of equities in the parent index (excluding REITs) with higher dividend income and quality characteristics than average dividend yields that are both sustainable and persistent. An investment cannot be made directly into an index.
ESG performance challenges drive interest in applying a factor approach to ESG
In theme two, we look at the intersection of factor investing and ESG. Factors are now seen as an important tool for maintaining performance when adopting ESG, for example by controlling for unwanted bias resulting from ESG integration.
End of the fixed income bull market sees investors looking to factors for new sources of return potential
In our third theme, we examine how and where factor investing is being used within fixed income. There are now high levels of belief in the application of factors within fixed income, and we find the potential end of the fixed income bull market has led to accelerating levels of demand for a factor approach. In particular, factors are seen helping to manage volatility and as an aid in delivering more diversified sources of return.
Accelerating rate of change in markets highlights the benefits of tactical tilting to a long-term, diversified multi-factor approach
In theme four, we explore approaches to implementation and find four-fifths of factor investors now adjust factor weights through time. This is driven by the varying performance of different factors over the economic cycle and desire to balance out exposures across the portfolio. We note many investors are using factor products both tactically and strategically and this differentiation plays an important role in product selection.
Invesco Global Factor Investing Study 2022
Understand the drivers of factor investing, investor experiences, and methods of implementation. Read the PDF now.
The value of investments and any income will fluctuate (this may partly be the result of exchange rate fluctuations) and investors may not get back the full amount invested. An investment cannot be made directly into an index.
Where individuals or the business have expressed opinions, they are based on current market conditions, they may differ from those of other investment professionals and are subject to change without notice.
