This month, Spain and Italy dropped slightly in the model and were replaced by Germany in the top six. However, China and the United States maintained their positions at the top of the model.
This year, value factors, which have been the best driver of performance over the last 12 months, are the only factor group to make a positive contribution.The momentum factors are continuing to show signs of mean reversion across countries, while select emerging markets are quickly moving up the rankings due to accelerating momentum and improving fundamentals.
Notable Moves to the Upside
- Turkey… climbed 18 spots to 10th overall. Turkey has been the best performing market over the last 3 months, up 20.2%. Fundamentals are also improving across a variety of factors.
- Peru… moved up 11 spots from 25th to 14th overall. Similar to Turkey, Peru is showing improving momentum and fundamentals. Valuation and risk remains higher than average.
Notable Moves to the Downside
- Russia… continues to drop, despite having the cheapest valuation in the model. They are now ranked 21st overall and have the worst momentum and 2nd highest risk in the entire model.
- Japan… fell 9 spots and is now ranked 28th in the model. Momentum has been the biggest drag on Japan, which has been the 2nd worst performing country over the last 3 months. They are down -5.0% during that period.
For more on countries, strategies, and movement in the model, see our full Portfolio Notes: