ab15 January 2024Global Research and Evidence LabWhat's happening to Quant?Factor Performance and ValuationsFactor PerformanceIn this weekly publication, we show how factors have been performing at a regional level and globally. The purpose of this report is to provide an up-to-date snapshot of how factors have been performing on a short-term horizon based off our daily factor returns database, and to track what styles are and are not working during this turbulent period in markets.StylesWe look at factor performance across Value, Momentum, Quality, Growth, Size and Risk styles. All style returns presented in this document are in USD and are calculated on a cap-weighted, long-short basis. Sector, region, size neutral for Value, region and size neutral for Momentum, Quality, Growth and Risk, and region neutral for Size.Valuations and Market StatisticsWe also look at valuations of various styles around the globe and see where these currently lie relative to their long-term history. Market statistics for each region are also included. If you are interested in receiving a copy of the underlying data for the series in this report, please let us know.Figure 1: Week on Week Factor Performance Up to 5 JanSource: UBS Quant, FactSet, MSCI, Russell, S&PThis 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 20. 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 6467Michael GrayAnalyst michael-f.gray@ubs.com +1-212-713 1313Jaiwish NolanAnalyst jaiwish.nolan@ubs.com +1-212-713 1489Claire JonesAnalyst claire-c.jones@ubs.com +44-20-7568 1873Cathy Fang, PhDAnalystS1460518100001 cathy.fang@ubs.com +86-21-3866 8891Aaron Guo, CFAAnalyst aaron.guo@ubs.com +852-2971 7705James CameronAnalyst james-a.cameron@ubs.com +61-2-9324 2074Ashley ShiAnalyst ashley.shi@ubs.com +61-2-9324 3862Luke Brown, CFAAnalyst luke.brown@ubs.com +61-2-9324 3620Mat CranwellAnalyst mat.cranwell@ubs.com +61-2-9324 3779 What's happening to Quant? 15 January 2024ab 2What's happening to Quant?UBS ResearchGlobal PerformanceFigure 2: Large Cap (large minus small)Source: UBS Quant, MSCI, FactSet. Note: returns are region neutral, long-short thirds, capitalization weighted in USD.Figure 3: GrowthSource: UBS Quant, MSCI, FactSet. Note: returns are size and region neutral, long-short thirds, capitalization weighted in USD.Figure 4: MomentumSource: UBS Quant, MSCI, FactSet. Note: returns are size and re...
