ab2 February 2024Global Research and Evidence LabUS Equity StrategyU.S. Return Decomposition - February 2024The S&P 500 returned 1.7% in January (including dividends), with P/E expansion more than offsetting weaker fundamentals. The largest companies continue to have outsized influence on market returns with NVDA, MSFT, META and AMZN among the most positive contributors, while TSLA and AAPL are among the biggest detractors.Across size and style, Growth (+2.5%) outperformed Value (+0.1%) since the start of the year, with much of the difference attributable to better fundamentals. Small underperformed Large (-3.9% vs. +1.7%) on the back of a meaningful decline in Russell 2000 P/Es despite a modest improvement in EPS. MSCI EAFE gained 2.6% (price return in local currency) in January; however, it returned a more modest 0.6% excluding currency gains (total return USD). Figure 1: Return Decomposition – YTDEPS*P/EPrice Return LocalTotal Return USDS&P 500-0.72.31.61.7Russell 1000 Value-0.50.40.00.1Russell 1000 Growth1.60.92.52.5Russell 20000.4-4.3-3.9-3.9MSCI World (DM)0.01.71.71.2MSCI EAFE-0.43.02.60.6MSCI Europe-0.92.11.2-0.1MSCI Pacific0.64.55.21.9Source: Standard & Poor’s, Russell, MSCI, FactSet, UBSNote: *Change in forward estimates. All data and prices as of January 31, 2024 unless otherwise noted.Figure 2: Return Decomposition – 2023EPS*P/EPrice Return LocalTotal Return USDS&P 5007.415.724.226.3Russell 1000 Value1.07.78.811.5Russell 1000 Growth18.319.541.442.7Russell 20001.813.115.116.9MSCI World (DM)5.115.221.124.4MSCI EAFE2.210.613.018.9MSCI Europe4.76.211.220.7MSCI Pacific-2.319.516.815.6Source: Standard & Poor’s, Russell , MSCI, FactSet, UBSNote: *Change in forward estimates. All data and prices as of January 31, 2024 unless otherwise noted.This report has been prepared by UBS Securities LLC. 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.Equity StrategyAmericasPatrick PalfreyStrategist patrick.palfrey@ubs.com +1-212-713-2000Jonathan GolubStrategist jonathan.golub@ubs.com +1-212-713 8673Nicholas SamoyednyAssociate Strategist nicholas.samoyedny@ubs.com +1-212-713-2000Will JacksonAssociate Strategist will.jackson@ubs.com +1-212-713-2000 US Equity Strategy 2 February 2024ab 2US Equity StrategyUBS ResearchS&P 500Figure 3: S&P 500 Return Decomposition – YTD Revenue*Margin*Earnings*BuybacksEPS*P/EPrice ReturnDividendsTotal ReturnS&P 5000.3-0.6-0.80.1-0.72.31.60.11.7Comm Svcs0.7-0.8-0.70.2-0.55.34.80.25.0Technology0.70.30.10.00.23.73.90.03.9Financials0.9-0.6-0.20.1-0.13.02.90.13.0Health Care0.8-1.2-1.00.1-0.83.72.80.23.0Staples0.2-0.1-...
