In the latest factor premium update from Foresight, learn how the various structural drivers of Australian shares have performed.
Foresight factor premiums show the returns attached to generally accepted, systematic drivers of stock returns. Foresight computes long-short factor premiums to isolate pure effect.
Factor premiums can be highly useful in assessing how your portfolio biases are influencing outcomes during period of volatility or otherwise. Factor premium insights are particularly valuable for putting your ETF or Active fund performance in the context of structural drivers of stock return.
In the latest update, Quality; Asset Growth and Value were the best performing factors in Feb 20. On the other hand; Market, Size and Momentum factors had the worst returns.
For 3m period, Growth, Quality and Momentum were the best performers while Market, Size and Value were the worst.
Over a longer window of 1 year, Quality, Growth (both asset & book) and Momentum have delivered strong premiums while Value and Size premiums were negative.
On the above basis, active funds and ETFs with Quality and Growth biases are expected to prove more resilient on a 3 month basis.
It remains to be seen if this trend continued in Mar 20, a period of extreme volatility in risk assets.
For complete report click here