Global Equity Market Arithmetic

Concentration risk driven by extreme outperformance of mega-cap stocks is rendering traditional stock picking increasingly redundant. Consequently, interest in quantitative portable alpha strategies is rising to manage benchmark constraints and increase breadth.

Key Takeaways

• 1.Market concentration risk is increasing, making traditional stock picking difficult as benchmark risk forces institutional investors to hold the top 20 stocks.
• 2.Breadth in market-cap weighted indices has collapsed, pushing interest toward portable alpha strategies that decouple alpha generation from index holdings.

Table of Contents

• Market performance
• Market & factor index performance
• Sector performance
• Market P/E ratios and growth
• Sector P/E ratios by region
• Sector EPS growth by region
• Country P/E ratios and EPS growth
• Regional EPS momentum
• US sales, profit, and margin diffusion indicators
• US sales, profit, and margin diffusion indicators by sector
• YTD sector and region consensus earnings changes
• Quarterly US, Europe, and Japan sector consensus earnings changes
• US consensus quarterly earnings
• Monthly factor performance (long vs short)
• Monthly factor performance (long vs universe)
• Monthly top and bottom 10 factor performance by region
• Year-to-date factor performance (long vs short)
• Year-to-date factor performance (long vs universe)
• Year-to-date top and bottom 10 factor performance by region
• Europe factor performance by period (long vs short)
• Europe factor performance by period (long vs universe)
• US factor performance by period (long vs short)
• US factor performance by period (long vs universe)

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