Investors have put a premium on safety in recent months amid a global market meltdown caused by pandemic-related panic, among other factors. In fact, according to our latest Market Maps – Regional Factor Indicator Report for April, FTSE Russell found that Quality, Profitability and Low Volatility factors led in nearly every major global equity market in the first quarter. Yet even with this uniform flight to safety, regional differences have emerged.
First quarter 2020 relative returns (% Local Currency) - Quality prevails in stampede from risk
Defensive factors, led by Quality, strongly outperformed more economically sensitive Value and Size factors as the economic damages inflicted by the coronavirus pandemic and containment efforts sparked a massive flight from risk.
And in a FTSE Russell webinar earlier this week where the team took a deeper dive into analyzing the current state of the global equity markets through the lens of market factors, FTSE Russell experts shared additional insight.
Philip Lawlor – managing director, Global Markets Research:
“While a broad-brush analysis generally shows defensive factors leading globally for the first quarter, market-by-market analysis yields a slightly more nuanced set of results. By analyzing sector overweights and underweights within factors by market for the first quarter and their impact on regional performance, you begin to get a picture on how factor influences have differed slightly across global regions, in particular within the UK.”
Marlies van Boven, PhD, managing director, research & analytics:
“Factor analysis through equity market indexes enables us to take a deeper dive into the relative performance of global markets to better understand the dynamics at play. This level of insight and rigor is particularly important during times of market stress and can be even more useful when we compare factor volatility in the current global pandemic to previous crises, such as the Global Financial Crisis.”
To help investors with information and insight to help navigate volatile markets during these challenging times, FTSE Russell has established a special landing page – Coronavirus: mapping the impact - on its website that includes relevant content on a number of topics.
© 2020 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). The LSE Group includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) MTSNext Limited (“MTSNext”), (5) Mergent, Inc. (“Mergent”), (6) FTSE Fixed Income LLC (“FTSE FI”), (7) The Yield Book Inc (“YB”) and (8) Beyond Ratings S.A.S. (“BR”). All rights reserved.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, MTSNext, Mergent, FTSE FI, YB and BR. “FTSE®”, “Russell®”, “FTSE Russell®”, “MTS®”, “FTSE4Good®”, “ICB®”, “Mergent®”, “The Yield Book®”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered) are trademarks and/or service marks owned or licensed by the applicable member of the LSE Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, MTSNext, FTSE Canada, Mergent, FTSE FI, YB or BR. FTSE International Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator.
Views expressed by Philip Lawlor and Marlies van Boven of FTSE Russell are as of April 22nd and subject to change. These views do not necessarily reflect the opinion of FTSE Russell or the LSE Group.
All information is provided for information purposes only. All information and data contained in this publication is obtained by the LSE Group, from sources believed by it to be accurate and reliable. Because of the possibility of human and mechanical error as well as other factors, however, such information and data is provided "as is" without warranty of any kind. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the accuracy, timeliness, completeness, merchantability of any information or of results to be obtained from the use of FTSE Russell products, including but not limited to indexes, data and analytics, or the fitness or suitability of the FTSE Russell products for any particular purpose to which they might be put. Any representation of historical data accessible through FTSE Russell products is provided for information purposes only and is not a reliable indicator of future performance.
No responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for (a) any loss or damage in whole or in part caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing, transcribing, transmitting, communicating or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special, consequential or incidental damages whatsoever, even if any member of the LSE Group is advised in advance of the possibility of such damages, resulting from the use of, or inability to use, such information.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing contained in this document or accessible through FTSE Russell Indexes, including statistical data and industry reports, should be taken as constituting financial or investment advice or a financial promotion.
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. However, back- tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based on revisions to the underlying economic data used in the calculation of the index.
This publication may contain forward-looking assessments. These are based upon a number of assumptions concerning future conditions that ultimately may prove to be inaccurate. Such forward-looking assessments are subject to risks and uncertainties and may be affected by various factors that may cause actual results to differ materially. No member of the LSE Group nor their licensors assume any duty to and do not undertake to update forward-looking assessments.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group data requires a licence from FTSE, Russell, FTSE Canada, MTSNext, Mergent, FTSE FI, YB and/or their respective licensors.