Largest Driver Of Performance Over The Last Month? Beta

Written by Jennifer Thomson, Gavekal Capital Blog

As part of our treasure trove of data and tables, we rely on our factor scoring model to tell us the most important elements that have affected performance over various time periods and in different regions. For developed markets (DM), the most influential factor over the last week and month (coming in 2nd over the last year and 5th over the last three months) has been beta:

Trends for the variable are not the same, depending on the region in question. For DM Americas, higher beta has been associated with better returns over the medium to longer-term. However, in the last week, higher returns were more correlated with low beta:

When we take a look at DM Asia, we find higher beta performing better over nearly every time slice but especially over the last month:

Beta has been less impactful in the DM EMEA region, with the highest decile performing dramatically better than any other:

Beta has also been at the top of the list when it come to influential factors in emerging markets (EM), ranking first over the last one- and three-month periods:

Regionally, beta has played a larger role in performance in EM Asia compared to its Americas and EMEA peers where correlations are generally much lower.

EM Americas