Key Points:

  • In March quarter, Momentum, Market and Quality factors drove Global equity returns.
  • Since 2012, Market, Momentum and Quality (ROE) factors have dominated Global equity returns.
  • Market and Momentum factors have delivered the highest Sharpe ratio (risk adjusted returns).
  • Over the past 12 months, High ROE and conservative Asset growth across Large caps have delivered best outperformance.
  • High Quality portfolio in Large caps is dominated by Technology. High Quality in Small caps is dominated by Industrials, Consumer Cyclicals and Industrials.
  • Large cap Momentum portfolio is dominated by Technology. Small cap Momentum is dominated by Consumer Cyclicals and Industrials.
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