By Philip Lawlor, managing director, head of global market research
2019年の世界の株式市場は、劇的な紆余曲折をたどりましたが、ファクターのパフォーマンスも同様の道筋となりました。FTSE Russellの直近のファクター・インディケーター・レポートは、昨年のファクター投資の中で最も注目されたテーマが何であったかを浮き彫りにしています。こうしたテーマは2020年の今後を占う上で重要な手がかりとなる可能性があります。
第4四半期のリスク・ラリーにもかかわらず、クオリティ・バイアスが堅調に推移
ここ数カ月、リスク選好度は大幅に改善しましたが、投資家は総じて警戒を緩めず、比較的堅調な収益力と強固なバランスシートを有する企業を選好してきました。こうした企業を選好する姿勢は、2019年を通して、大半の市場（英国を除く）においてクオリティ（および収益性）ファクターの優位性確立に寄与しましたが、一方でバリューやサイズの第4四半期のラリーは年末までに失速しました。
Source: FTSE Russell and Refinitiv. Data through December 31, 2019. Regional Factor Indicators represent hypothetical, historical performance, based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Past performance is no guarantee of future results.
英国のサイズ（ 小型株）は世界的な人気株となった
しかし、こうしたほぼ同時的な世界的ファクター・トレンドから離れ、真に際立った存在となったのが英国のサイズです。ハードブレグジットの懸念が後退したことで、英ポンドの力強い回復と国内比重の高い小型株へのローテーションに拍車がかかる中、英国のサイズは第4四半期と2019年通年のいずれについても大幅にアウトパフォームしました（後者は7.6％のアウトパフォーマンス）。英国のサイズは、資本財や消費者サービスなど、英国で昨年最も優れたパフォーマンスを計上したセクターに対する大幅なオーバーウェイトからも恩恵も受けました。
Source: FTSE Russell and Refinitiv. Data through December 31, 2019. Regional Factor Indicators represent hypothetical, historical performance, based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Past performance is no guarantee of future results.
低レバレッジが注目されたことでクオリティのパフォーマンスが押し上げられた
クオリティのアウトパフォーマンスは、総資産利益率（ROA）や株主資本利益率（ROE）が高く、（特に将来の純負債自己資本比率で測定した）債務負担の小さい銘柄が人気を集めたことが大きく寄与しました。
Source: FTSE Russell and Refinitiv. Data through December 31, 2019. Regional Factor Indicators represent hypothetical, historical performance, based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Past performance is no guarantee of future results.
シクリカル・セクターのローテーションも一役買った
また、クオリティは、テクノロジー、資本財、そして市場の中で総じて景気に敏感なその他のセクターに対するオーバーウェイトと、電気通信や公益事業など、遅れを取っているディフェンシブなセクターに対するアンダーウェイトからも恩恵を受けました。
今日、米国債の価格変動がファクターのより大きな変動要因になっている
FTSE Russellの分析では、バリューとサイズが短期・長期の米国債価格に対して世界的に一段と負の相関関係を示すようになった一方、新興国市場を除き、低ボラティリティとモメンタムが一段と正の相関関係を示すようになってきました。 興味深いことに、新興国市場のファクターのパフォーマンスは、原油や銅などのコモディティ価格を除き、一般的にマクロ経済の変化に対して先進国市場ほど敏感ではありません。
これらの結果が示すように、ここ1年のファクターの動きは、世界の景気サイクルと金融政策／金利の見通しの変化に支配されてきました。 投資家は、こうした関連性を読み解き、これからの1年、どのような舵取りを行っていけば最もよいのか、洞察を得ることが可能と思われます。
これらの話題に関する詳細については、近々開催予定の四半期ごとのファクター投資のウェビナー： 米州、欧州、アジア太平洋にお申込みください。
© 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.
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 the 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 herein or accessible through FTSE Russell products, 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 document 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, BR and/or their respective licensors.
