MSCI has released its index performance report for July 2017, breaking down the best and worst performing equity indices over this period by country, factor and sector.
MSCI’s China equity index returned 8.9% during July, significantly above the 2.8% for the MSCI ACWI.
The index provider, which is one of the leading providers of equity indices to the exchange-traded fund industry, reports the highest index returns in July were achieved by China (8.9%) for country exposure in a month where the lowest return was still positive at 0.9% for Switzerland. Elsewhere, momentum and materials topped the lists of factor and sector exposures respectively.
Single Country Index Rankings
The broad market average for July, represented by the return on the MSCI All Country World Index (ACWI), was 2.8%. Australia (4.4%), Canada (4.0%), Korea (3.2%) and France (2.8%) also managed to outperform the ACWI over this period.
Using the forward Price-to-Earnings ratio, the most expensive country is the USA with a forward P/E of 18.4 and the cheapest, Korea with a forward P/E of 9.0, while the market (ACWI) forward P/E is 16.1.
Germany (13.1), China (13.5), Japan (14.3), France (14.6), the UK (14.7), Canada (15.5) and Australia (15.8) are also trading at forward P/E ratios below the market average.
The country with the largest year-to-date (YTD) index growth is China (36.1%). Korea (33.0%), France (21.3%), Switzerland (20.1%) and Germany (18.2%) have also outperformed the ACWI’s YTD return of 15.0%.
Factor Index Rankings
The best performing factor during July was momentum (3.5%) and the worst was minimum volatility (1.9%), while the market ACWI returned 2.8%.
Enhanced value (3.2%) and equal-weighted (3.1%) also outperformed the broad market ACWI over this period.
Using the forward P/E, the most expensive factor is minimum volatility USD with a forward P/E of 19.0 and the cheapest, enhanced value with a forward P/E of 9.8, while the market (ACWI) forward P/E is 16.1.
High dividend yield (14.0), equal-weighted (15.3) and risk-weighted (16.1) strategies are also trading at forward P/E ratios below the market average ACWI forward P/E.
The factor with the strongest YTD index growth is momentum (20.8%). Equal weighted (17.2%), quality (16.6%), risk-weighted (15.9%) and enhanced value (15.7%) have also outperformed the ACWI’s 15.0% YTD return.
Sector Index Rankings
The best performing sector during July was materials (5.2%) and the worst was health care (0.1%), while the market ACWI returned 2.8%.
Information technology (4.7%), telecoms (4.6%), energy (4.0%), financials (3.8%) and real estate (2.9%) also outperformed the ACWI over this period.
Using the forward P/E, the most expensive sector is real estate with a forward P/E of 29.9 and the cheapest, financials with a forward P/E of 12.3, while the market (ACWI) forward P/E is 16.1.
Telecoms (14.7), materials (15.3), and utilities (15.3) are also trading at a forward P/E ratio below the market average ACWI forward P/E of 16.1.
The sector with the strongest YTD return is information technology with a 26.3% gain. Healthcare (16.3%), materials (16.1%), financials (15.4%) and consumer discretionary (15.3%) have also outperformed the ACWI’s 15.0% YTD return.