Key Points:

  • The recovery from October 2023 market sell off was led by Market factor and Growth. In March quarter, Momentum and Asset Growth drove returns.
  • Since 2012, Momentum, Market, Quality (ROE) have dominated.
  • Momentum, Quality and Market factors have delivered the highest Sharpe ratio (risk adjusted returns).
  • On a 12-month basis, High ROE and Conservative Asset growth across Large and Small have delivered best outperformance.
  • High ROE portfolio in Large caps is dominated by Materials, Healthcare and Financials. High ROE in Small caps is dominated by Consumer cyclicals, Financials and Materials.
  • Small Momentum portfolio is dominated by Materials, Technology and Industrials.
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