Global Equity Market Arithmetic

Latest edition · September 21, 2026

Global Equity Market Arithmetic Multiple macro narratives providing diversified sources of stock returns

While global market cap indices exhibit severe concentration reminiscent of the late 1990s, underlying stock returns are propelled by diverse macro themes rather than moving in lockstep. This elevated dispersion and historically low pairwise correlation create substantial alpha opportunities for systematic long/short equity strategies.

Société Générale's quantitative research highlights that today's market concentration mirrors the late 1990s, where headline indices were driven by tech but cross-sectional returns reflected diverse macroeconomic narratives. Sector dimensionality analysis reveals high diversification on an equal-weighted basis compared to a cap-weighted basis, with energy and AI-driven themes diverging sharply from consumer sectors. With pairwise correlations in Momentum indices at historic lows, systematic market-neutral multi-factor equity long/short models remain well-positioned to extract alpha across global equity markets.

Key takeaways from the latest edition

• 1.Despite headline index concentration resembling the late 1990s TMT era, stock returns are being powered by multiple distinct macro and thematic forces beneath the surface.
• 2.Global sector dimensionality is elevated on an equal-weighted basis but very low on a market-cap-weighted basis, confirming meaningful diversification benefits outside mega caps.
• 3.Pairwise correlations within Momentum indices have dropped to record lows, creating fertile ground for systematic equity market-neutral long/short alpha generation.

What this series covers

• Market performance (%)
• Factor performance (%, SG Indices)
• Sector performance (%, in USD)
• Market P/E ratio aggregates
• Sector P/E ratio aggregates
• Sector EPS Growth aggregates
• Country P/E ratio & EPS Growth aggregates
• Regional EPS momentum
• Percentage of US non-financial companies seeing historical sales higher than previous year
• Regional earnings consensus changes
• Global sector earnings consensus changes
• US consensus quarterly earnings
• Monthly factor performance across regions: Long vs Short
• Monthly factor performance across regions: Long vs Universe
• Monthly top vs bottom 10 factor performance
• Year-to-date factor performance across regions: Long vs Short
• Year-to-date factor performance across regions: Long vs Universe
• Year-to-date top vs bottom 10 factor performance
• Europe Factor performance across periods: Long vs Short
• Europe Factor performance across periods: Long vs Universe
• US Factor performance across periods: Long vs Short
• US Factor performance across periods: Long vs Universe

Edition archive

• Global Equity Market Arithmetic Multiple macro narratives providing diversified sources of stock returns

  September 21, 2026

• 2026 09 07 Global Equity Market Arithmetic What's Driving Low Stock Correlation in the US, Europe is Not the Same

  September 7, 2026

• Global Equity Market Arithmetic Despite the spending US corporate cash piles are back to record highs

  September 1, 2026

• Global Equity Market Arithmetic Surging and broad based profit growth continues to support equities

  August 10, 2026

• Global Equity Market Arithmetic Momentum pain continues with the biggest unwinds seen in China

  July 20, 2026

• Andrew Lapthorne - Quants take a hit as price momentum laggards bounce back strongly

  July 6, 2026