MSCI reports all factor indices positive for third consecutive month

Nov 8th, 2017 | By | Category: Equities

MSCI has released its index performance report for October 2017, breaking down the best and worst performing equity indices over this period by country, factor and sector.

MSCI reports all factor indices positive for third consecutive month

Momentum was the best performing factor for the month, returning 4.4%.

The index and data provider, which is one of the leading providers of equity indices to the ETF industry, reports that all of its factor-based indices generated a positive return in October. The best performing factor for the month was momentum (4.4%) and the worst was high dividend yield (0.8%).

The broad market average for October, represented by the return on the MSCI All Country World Index (ACWI), was 2.1%.

The strong performance across factor indices marks the third consecutive month where all of MSCI’s factor indices generated a positive return, following impressive performances in August and September.

Apart from momentum, quality (3.1%), enhanced value (2.6%) and factor mix A series USD (2.2%) all outperformed the broad market ACWI over this period.

At current prices, the most expensive factor is minimum volatility USD with a forward P/E of 19.0, while the cheapest is enhanced value with a forward P/E of 10.0. The market (ACWI) forward P/E is 16.3.

High dividend yield (14.3), equal-weighted (15.3) and risk-weighted (16.0) strategies are also trading at forward P/E ratios below the market average ACWI forward P/E.

The factor with the strongest YTD index growth is momentum (31.0%). Quality (23.7%), enhanced value (21.8%), and equal weighted (21.1%) have also outperformed the ACWI’s 20.2% YTD return.

Source: MSCI.

Single Country Index Rankings

Korea (8.4%) was the best-performing country during October while the worst was Switzerland (-1.7%).

According to the forward P/E ratio, the most expensive country is the USA with a forward P/E of 18.4, and the cheapest is Korea with a forward P/E of 9.2.

China (13.6), Germany (14.0), the UK (14.5), Japan (14.9), France (15.4), Australia (15.9) and Canada (15.9) are also trading at forward P/E ratios below the market average.

The country with the largest YTD index growth is China (49.1%). Korea (43.5%), France (29.8%), and Germany (26.9%) have also outperformed the ACWI’s YTD return of 20.2%.

Source: MSCI.

Sector Index Rankings

The best performing sector during October was information technology (7.1%) and the worst was telecommunication services (-2.5%).

Materials (3.0%) and utilities (2.7%) also outperformed the ACWI over this period.

The most expensive sector is currently real estate with a forward P/E of 21.6, and the cheapest is financials with a forward P/E of 12.4.

Telecoms (14.1), utilities (15.7), and materials (15.8) are also trading at a forward P/E ratio below the market average ACWI forward P/E of 16.3.

The sector with the strongest YTD return is information technology with a 40.8% gain. Materials (24.2%), and industrials (21.7%) have also outperformed the ACWI.

Source: MSCI.

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