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Get the Latest European Factor Returns Dive deep into factor performance in Europe.
BY Tim Edwards

European equities performed well in 2017 as historically low levels of volatility accompanied a steady upward grind in the markets. Without extreme market movements, stock-level dispersion was also extremely low, and this was reflected in the narrow range of returns for our core factor indices; only 8% separated the best from the worst.


For the first time since 2013, our European Quality, Enhanced Value, Momentum and Low Volatility indices all outperformed over the calendar year. These indices benefitted from their exposures to smaller companies as Equal Weight also beat the benchmark S&P Europe 350. This benefit did not extend to the U.S., where exposure to small size, as well as value, proved costly.


Equity dividend strategies had a more mixed year; only the S&P Euro High Yield Dividend Aristocrats outperformed. Despite concerns earlier in the year that these strategies were becoming expensive, investors got what they paid for in the fourth quarter; the dividend strategy with the lowest value score at the end of September - the S&P Europe 350 Dividend Aristocrats - gained the most in the last three months of the year.


Demonstrating the potential merits of diversifying factor exposures, the S&P Europe 350 QVM Multi-Factor Index rose 15.87% in 2017. This meant it finished in second place among our European factor indices.

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