The GS European Research Factor Barometer for June 15, 2026, presents performance metrics and correlations across various fundamental and technical factors for European equities. It highlights performance trends, volatility metrics, and shifting correlations with macro variables.
Key Takeaways
- 1.Performance of market-neutral factors is mixed, with Value (+2.3% YTD) and Momentum (+4.1% YTD) showing positive performance, while Balance Sheet (-6.5% YTD) and Financial Returns (-5.3% YTD) lagged.
- 2.Macro factor correlations indicate a significant relationship between Growth and the STOXX 600 (65%) and a strong negative correlation between Growth and German 10Y rates (-61%).
Table of Contents
- Performance
- Primary Factors: Fundamental and Technical
- Sub-Factors: Biggest 1M Movers (Top 4 / Bottom 4)
- Volatility
- Factor Correlation
- Disclosure Appendix
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