Low Debt to EV best; Low 12m Price Momentum worst in developed markets
Low Debt to EV at 2.5% was the best performing style in the developed markets in October 2017. Conversely, Low 12m Price Momentum did least well falling short of the benchmark by 2.6%. Value styles discriminated strongly with fivevalue-low in the top 12 and six value-high at the other end reversing the previous month. Quality also
discriminated strongly with three quality-high styles in the top 12 as did Momentum which behaved as expected.
High Dividend Cover best; Low 12m Price Momentum worst in emerging
In the emerging markets High Dividend Cover at 2.3% outperformance was our best performing style with Low 12m Price Momentum worst at 1.8% underperformance. Value styles again demonstrated mixed returns with two value-high styles in the top 12 and in the bottom12. Quality discriminated with two quality-high styles in the top 12 and two quality-low in the bottom 12. Growth factors also discriminated.
US Materials sector joined the overbought group
All three indicators in US increased last month. Particularly, US Materials sector joined the overbought group. For more details on methodology,
Style rotation models prefer quality in both Europe and the US
Our two style rotation models both suggest taking large positive weights in the quality style for next month, although in the US the suggested quality position is lower than last month.