Welcome to Equity Factor Insights. This quarterly Market Maps report provides actionable insights on global and regional factor performances, sector exposures, rotation drivers and macro sensitivities, using proprietary quarter-end data from the FTSE Global Factor Index Series.

Quarterly Report: July 2022

Low Vol and Yield gain favor in stampede from risk
Yield, Low Vol and Value generally fared best in the turbulent Q2 as investors sought safety in steadier, dividend-paying stocks and fled pricier growth stocks.

Factor returns swung on avoiding growth-stock carnage
Avoiding the severe downdrafts in expensive Consumer Discretionary and Technology industries was a prominent driver of factor outperformance in most markets.

UK Size takes a pounding
Factor return patterns in the UK deviated from those of global peers, reflecting the market’s bigger tilt to large-cap Staples and Energy stocks, and tiny exposure to Tech.

EM factor returns diverged starkly from global patterns
In a sharp U-turn from Q1, nearly all EM factors lagged in Q2. Unlike elsewhere, Yield & Low Vol retreated, hurt by their underexposure to outlier gains in Discretionary stocks.

Factor valuations sit below historical averages
Factor forward P/Es have fallen to or below long-term averages across markets. The Quality/Value premium continued to shrink, and has nearly vanished in the UK.

About Market Maps reports

Market Maps, authored by FTSE Russell’s Global Investment Research team, provide monthly capital-market analysis and insights across asset classes, regions, themes, currencies, industries and styles. The reports are designed specifically for institutional investors who require timely, comprehensive and reliable data to support better investment decision-making. You can sign up for other reports in the series here: FTSE Market Map Insight Global (lseg.com).