MSCI has released its index performance report for September 2017, breaking down the best and worst performing equity indices over this period by country, factor and sector.
The best performing factor for the month was momentum (2.6%) and the worst, minimum volatility USD (0.1%).
The index and data provider, which is one of the leading providers of equity indices to the ETF industry, reports that all of its factor-based indices generated a positive return in September with the best performing factor for the month being momentum (2.6%) and the worst, minimum volatility USD (0.1%).
The broad market average for September, represented by the return on the MSCI All Country World Index (ACWI), was 2.0%.
The strong performance across factor indices marks the second consecutive month where all of MSCI’s factor indices generated a positive return (see: MSCI reports all factor indices positive in August).
Apart from momentum, enhanced value (2.4%), and high dividend yield (2.0%) all outperformed the broad market ACWI over this period.
Using the forward P/E, the most expensive factor is quality with a forward P/E of 20.8, while the cheapest is enhanced value with a forward P/E of 9.8. The market (ACWI) forward P/E is 16.1.
High dividend yield (14.2), equal-weighted (15.1) and risk-weighted (15.8) 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 (25.4%). Quality (20.1%), equal weighted (19.0%), and enhanced value (18.7%) have also outperformed the ACWI’s 17.8% YTD return.
Source: MSCI.
Single Country Index Rankings
Germany (5.6%) was the best performing country during September while the worst was Australia (-1.0%).
Using the forward P/E ratio, the most expensive country is the USA with a forward P/E of 18.2, the cheapest is Korea with a forward P/E of 8.9, while the market (ACWI) forward P/E is 16.1.
China (13.4), Germany (13.7), Japan (14.3), the UK (14.5), France (15.1), Australia (15.5) and Canada (15.7) are also trading at forward P/E ratios below the market average.
The country with the largest YTD index growth is China (43.4%). Korea (32.4%), France (27.9%), Germany (25.0%) and Switzerland (21.5) have also outperformed the ACWI’s YTD return of 17.8%.
Source: MSCI.
Sector Index Rankings
The best performing sector during September was energy (8.1%) and the worst was utilities (-2.2%), while the market ACWI returned 2.0%.
Industrials (3.6%), financials (3.1%) and consumer discretionary (2.1%) 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 21.3, the cheapest is financials with a forward P/E of 12.2, while the market (ACWI) forward P/E is 16.1.
Telecoms (14.4), utilities (15.2), and materials (15.6) 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 31.5% gain. Materials (20.5%), industrials (19.6%) and health care (19.1%) have also outperformed the ACWI’s 17.8% YTD return.
Source: MSCI.