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Factor Friday: Factor Performance Driving Australian Stocks

Jun 21, 2019

We Crunch the Numbers, You Make the Trade.We Crunch the Numbers, You Make the Trade.
We Crunch the Numbers, You Make the Trade.We Crunch the Numbers, You Make the Trade.

 

The Data Daily: Where the charts tell the story

This week we are looking at the factor performance driving Australian Stocks

 

Australian Stocks Factor Performance - 5 Years

australian-stock-factor-performance

Source: S&P CapIQ

 

Better Data for Better Investment DecisionsBetter Data for Better Investment Decisions
Better Data for Better Investment DecisionsBetter Data for Better Investment Decisions

 

Australian Stocks Factor Style Summary - 5 Years

Factors Cross Sectional Spread% Spread Neutral Spread% #+ Sectors
Price Momentum 113.21% 90.01% 6
Historical Growth 32.99% 23.09% 7
Capital Efficiency 64.78% 63.31% 8
Valuation -22.89% -21.24% 6
Earnings Quality -7.23% -30.75% 4
Size -45.95% -49.42% 3
Volatility -60.60% -57.86% 5
Analyst Expectations 36.99% 38.31% 6

 

Source: S&P CapIQ

 

Global Top Stock IdeasTOP LONG & TOP SHORT STOCK IDEAS FOR GLOBAL MARKETSMONTHLY TOP IDEAS FROM OUR MULTI-FACTOR QUANTITATIVE MODELS
Global Top Stock IdeasTOP LONG & TOP SHORT STOCK IDEAS FOR GLOBAL MARKETSMONTHLY TOP IDEAS FROM OUR MULTI-FACTOR QUANTITATIVE MODELS