ab2 January 2024Global Research and Evidence LabGlobal Style GuideRecap of 2023: A tough year for most Quant FactorsDeveloped Markets outperformed in 2023World Developed Markets increased 23.1% over 2023 driven by a strong performance in the US (+26.5%) and Japan (+28.6%). Emerging Markets increased 9.6% in 2023. The top-performing sector globally in Developed Markets was IT (+53.3%), followed by Communication Services (+45.7%). Energy was the only sector to see a fall in 2023 at only -0.8%. 2023: Tough year for Quant FactorsOn a long-short basis, most styles were down in 2023. Risk was the dominating underperformer with a performance for Low Price Beta of -30.1%. High Quality and Size outperformed at +7.9% and +3.4% respectively. On the macro side, the explanatory power of the USD 2Y 10Y increased over 2023 and is now, together with US Index, the most dominate macro factor. The importance of Gold diminished significantly in the latter part of 2023. Across the developed markets, cross-sectional volatility remains low compared to historical averages and pairwise correlation is still trending down.Key research in 2023 2023 has been a year of interesting research on a broad range of topics. Crowding continues to dominate, and recently we launched our China crowding scores. We have continued our series of sector-specific reports and have currently published on Banks, Real Estate, Software, and Hardware & Semiconductors, with more to come. In the report “What Information is in Analyst Upside Rankings?” we leveraged the knowledge of sector analysts and found interesting results in analysts' high conviction ideas. Figure 1: Style Factor Performance Last Month - WorldSource: FactSet, UBS Quantitative DatabaseThis report has been prepared by UBS Securities Australia Ltd. ANALYST CERTIFICATION AND REQUIRED DISCLOSURES, including information on the Quantitative Research Review published by UBS, begin on page 13. UBS does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.EquitiesGlobalQuantitativePaul WinterAnalyst paul-j.winter@ubs.com +61-2-9324 2080Oliver Antrobus, CFAAnalyst oliver.antrobus@ubs.com +61-3-9242 6467Claire JonesAnalyst claire-c.jones@ubs.com +44-20-7568 1873Amanda BelcaidAnalyst amanda.belcaid@ubs.com +44-20-7568 3072Anita Mansbridge, FIAAAnalyst anita.mansbridge@ubs.com +44-20-7568 1872Cathy Fang, PhDAnalystS1460518100001 cathy.fang@ubs.com +86-21-3866 8891Aaron Guo, CFAAnalyst aaron.guo@ubs.com +852-2971 7705Michael GrayAnalyst michael-f.gray@ubs.com +1-212-713 1313Jaiwish NolanAnalyst jaiwish.nolan@ubs.com +1-212-713 1489James CameronAnalyst james-a.cameron@ubs.com +61-2-9324 2074Ashley ShiAnalyst ashley.shi@ubs.com +61-2-9...
