MSCI reports all country, factor and sector indices negative in February

Mar 6th, 2018 | By | Category: Equities

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MSCI has released its index performance report for February 2018, breaking down the best- and worst-performing equity indices over the period by country, factor and sector.

MSCI reports all country, factor and sector indices negative in February

MSCI reports all country, factor and sector indices negative in February.

The index provider, which is one of the leading providers of equity indices to the ETF industry, reports that all of its indices produced a negative return during February.

Country indices

For the month of January, Japan (-1.5%) was the best-performing country index while the worst was Canada (-7.3%).

The broad market all-world index for January, as represented by the return on the MSCI All Country World Index (ACWI), was down 4.2%.

Australia (-3.4%) and the USA (-3.7%) also outperformed over the month.

As measured by forward price-to-earnings (P/E) ratio, the most expensive country (as of month-end) was the USA with a forward P/E of 17.4, and the cheapest was Korea with a forward P/E of 8.5.

Germany (P/E 12.9), China (P/E 13.2), the UK (P/E 13.5), Japan (P/E 14.0) and France (P/E 14.7) are also trading at forward P/E ratios materially below the market average (ACWI) P/E of 15.5.

China leads the scorecard year-to-date (YTD) with a 5.3% return, followed by Japan with 3.0%. The ACWI has returned 1.3% over this period while Canda has some room to make up, having fallen 6.4%.

Source: MSCI.

Factor indices

All factor indices were also negative during February, the best-performing being momentum (-2.9%) and the worst, high dividend yield (-4.6%).

Quality (-3.3%), minimum volatility USD (-3.9%), factor mix A Series USD (-3.9%) and risk-weighted (-4.1%) also outperformed the ACWI over this period. Enhanced value and equal weighted matched the ACWI’s return of -4.2% during February.

At current valuations, the most expensive factors are minimum volatility USD and momentum with forward P/E ratios of 17.8, while the cheapest is enhanced value with a forward P/E of 9.4.

YTD, the best performing factor is momentum with a return of 5.6%, comfortably ahead of the quality factor with a return of 1.8%.

Source: MSCI.

Sector indices

The best-performing sector index during February was information technology (-1.1%) and the worst was energy, plunging 8.1%. Consumer discretionary (-3.5%), and financials (-3.9%) also outperformed the ACWI over this period.

The most expensive sector is currently real estate with a forward P/E of 19.6, and the cheapest is financials with a forward P/E of 12.1. Telecoms (P/E 12.7), utilities (P/E 14.0), and materials (P/E 14.4), and energy (15.0) are also trading at a forward P/E ratio below the market average ACWI forward P/E of 15.5.

YTD, the best performing sector is information technology with a 6.5% return, followed by consumer discretionary with 3.8%. Real estate is holding the bottom rung of the ladder, having fallen 5.5% over this period.

Source: MSCI.

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