Value’s jubilee

Research Signals - May 2022

As admirers across Britain and around the world awaited Queen Elizabeth's Platinum Jubilee celebrations, equity investors reveled in value factors' good cheers throughout the month of May (Table 1). However, markets are still trying to recover from the built-up pressures that have reigned in 2022 including supply chain issues, elevated inflation, the war in Ukraine and the recent downturn in China from renewed COVID restrictions.

• US: Robust double-digit spreads were recorded by value measures including Forward 12-M EPS-to-Enterprise Value
• Developed Europe: Price Momentum measures moved to the opposite end of the performance spectrum, with Industry-adjusted 12-month Relative Price Strength the weakest performing factor last month
• Developed Pacific: In Japan, investors rewarded both value and momentum measures, as represented by Industry Relative Leading 4-QTRs EPS to Price and Rational Decay Alpha, respectively
• Emerging markets: Deep Value and Relative Value themes were favored in May, as captured respectively by TTM EBITDA-to-Enterprise Value and Industry Relative TTM Dividend Yield

Table 1

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