The best performing investment factor in May was momentum, with a return of 4.1%, according to MSCI.
The index firm has published results from its own indices for smart beta and mainstream indices, showing that the worst performing smart beta in May was enhanced value with a 1.4% return.
The overall return for the global MSCI ACWI index was 2.3%.
Momentum was also the best performer year-to-date, with a 16% return. The lowest factor return was high dividend yield, with 10.1%. The year-to-date market return was 11.3%.
The figures showed that using the forward P/E ratio, the most expensive factor is minimum volatility when measured in US dollars, with a forward P/E of 19. The cheapest was enhanced value with a forward P/E of 9.8.
Overall, the best performing country in May was Korea (8.1%), which has also been the best performing country year-to-date (27.6%).
Australia was month’s worst performer (-3.9%) while the market has returned 2.3%.
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