* Small(er) Cap and Estimates Momentum Outperformance
— Smaller caps outperformed and, with earnings announcements generally skewed to the positive, Estimates Momentum continued to deliver Alpha across all regions ex Asia.
* Negative Fund Flows for US and EM Equities; Positive for Europe
— The last week of January witnessed >$10bn outflows as equity markets sold off on EM concerns, the majority of which can be attributed to ETFs. Conversely, Europe posted a 31st consecutive week of positive inflows to equity funds.
* European Low Risk Premium Stretched…
— The Low Risk premium has subsided over the past 12 months. This has increased over the past month and, whilst this is prudent in light of EM volatility, we believe the premium for Europe is stretched relative to the US and expect the spread to come-in over the longer term.
* …take gradual Value Exposure via Estimates Momentum
— this would require further Value outperformance which, at this juncture, we are prepared to add gradually via Estimates Momentum and its implicit style tilts.