Low free cash flow and low sales yields performed best
Low value styles dominated globally last month. Low free cash flow and low sales yields outperformed their respective benchmarks by 1.54% and 0.68%, respectively for June month end. Benchmarks used are based on regional MSCI indices. Regionally, low value styles dominated Europe ex UK but underperformed in Japan. Low free cash flow yield generated excess returns in all regions except for Japan in June.
China outperformed in all low value style measures
Low free cash flow and low sales yields have also surpassed their benchmarks last quarter. Low free cash flow yield returned 1.34% more than its corresponding index globally. Regionally, low free cash flow yield had the best showing exceeding index returns in most regions except in Latin America, Japan and Asia Pacific excluding Japan. China outperformed in all low value style measures. The country’s low sales yield strategy gained 2.73% more than the benchmark. North America displays the largest outperformance of low free cash flow yield with 1.86% excess return. Low sales yield exceeded index returns in Europe and the UK. Globally, low sales yield marginally exceeded its index by 0.39% in the past quarter.
In his 2021 year-end letter, Baupost's Seth Klarman looked at the year in review and how COVID-19 swept through every part of our lives. He blamed much of the ills of the pandemic on those who choose not to get vaccinated while also expressing a dislike for the social division COVID-19 has caused. Q4 2021 Read More
High value surpasses benchmarks in Japan
High earnings before interest and taxes (EBIT)/enterprise value (EV) outperformed worldwide by 0.95% and in Japan by 1.50% last quarter. Investors were still interested in high dividend yield names in Europe excluding UK, Europe, and Latin America boosting regions’ quarterly performance. High value styles gained more than corresponding indices in Japan, with excess returns concentrated in high earnings yield and high sales yield styles. The only high value style that underperformed slightly in Japan last quarter was low peg. Asia Pacific ex Japan’s high value quarterly relative performance, in contrast, is negative. In North America, high value styles are mostly neutral relative to benchmarks.
Low value style performance: Europe ex UK
Low value style performance: Europe
Low value style performance: North America