MSCI reports all factor indices positive in August

Sep 13th, 2017 | By | Category: ETF and Index News

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

MSCI reports all factor indices positive in August

The best performing factor during August was quality (1.4%) and the worst was enhanced value (0.2%).

The index provider, which is one of the leading providers of equity indices to the exchange-traded fund industry, reports that all of its factor-based indices generated a positive return in August with the best performing factor during August being quality (1.4%) and the worst, enhanced value (0.2%).

The broad market average for August, represented by the return on the MSCI All Country World Index (ACWI), was just 0.4%.

Apart from quality, momentum (1.3%), minimum volatility USD (0.9%), factor mix A series USD (0.8%), high dividend yield (0.6%) and equal weighted (0.5%) all outperformed the broad market ACWI over this period.

Using the forward P/E, the most expensive factor is minimum volatility USD with a forward P/E of 18.9 and the cheapest, enhanced value with a forward P/E of 9.7, while the market (ACWI) forward P/E is 15.8.

High dividend yield (14.0), equal-weighted (15.0) and risk-weighted (15.7) 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 (22.3%). Quality (18.3%), equal weighted (17.8%), risk-weighted (16.4%) and enhanced value (15.9%) have also outperformed the ACWI’s 15.5% YTD return.

Source: MSCI.

Single Country Index Rankings

China (4.2%) was the best performing country during August while only France (1.1%) also managed to outperform the ACWI over this period.

Using the forward P/E ratio, the most expensive country is the USA with a forward P/E of 18.0 and the cheapest, Korea with a forward P/E of 8.7, while the market (ACWI) forward P/E is 15.8.

Germany (12.9), China (13.5), Japan (13.8), France (14.4), the UK (14.5), Canada (15.4) and Australia (15.7) are also trading at forward P/E ratios below the market average.

The country with the largest YTD index growth is China (41.9%). Korea (29.7%), France (22.6%), Switzerland (19.1%) and Germany (18.4%) have also outperformed the ACWI’s YTD return of 15.5%.

Source: MSCI.

Sector Index Rankings

The best performing sector during August was utilities (3.0%) and the worst was energy (-2.4%), while the market ACWI returned 0.4%.

Information technology (2.9%), materials (2.6%), real estate (1.2%), health care (1.0%) and industrials (0.6%) also outperformed the ACWI over this period.

Using the forward P/E, the most expensive sector is real estate with a forward P/E of 21.5 and the cheapest, financials with a forward P/E of 11.9, while the market (ACWI) forward P/E is 15.8.

Telecoms (14.4), materials (15.5), and utilities (15.6) are also trading at a forward P/E ratio below the market average ACWI forward P/E of 15.8.

The sector with the strongest YTD return is information technology with a 29.9% gain. Materials (19.1%), utilities (17.5%) and health care (17.5%) have also outperformed the ACWI’s 15.5% YTD return.

Source: MSCI.

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