Morningstar Magazine - April/May 2018 - 22

Dispatches

Global Briefs
TRENDS

Morningstar Style Factors Illuminate the Market
The Morningstar Global Risk Model incorporates 36 factors that drive equity returns, including sector, region, and currency
exposures, as well as the style factors shown in the table below. The six factors in bold are proprietary Morningstar
measures. As stock markets around the world rallied in 2017, momentum outperformed, as it has for much of the past decade.
The size factor, representing exposure to small caps, has been another significant driver over that time.
A Decade of Style Performance (%)
The premiums represent long-short portfolios that are long those securities that are highly exposed to the factor in question and short securities with low exposure.
2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

9.60

7.30

7.60

8.96

5.11

8.30

8.04

11.53

9.41

7.99

9.41

6.73

7.30

4.21

2.83

7.60

3.84

7.20

1.75

3.81

6.75

5.74

2.89

3.76

1.74

3.60

2.84

3.81

1.23

2.52

5.49

5.50

1.42

2.52

1.14

1.96

1.92

3.17

0.41

2.41

5.38

1.47

0.48

1.17

1.11

1.02

1.89

2.64

0.10

2.33

3.57

0.46

-0.25

1.13

0.38

0.89

0.00

2.14

-0.60

0.90

0.45

-0.61

-0.31

0.51

0.00

0.61

-0.10

2.04

-1.01

0.77

0.41

-1.80

-0.50

0.30

-0.73

-0.10

-0.94

0.35

-1.38

0.32

0.30

-2.07

-0.94

0.00

-0.74

-0.19

-1.11

-0.10

-1.65

0.17

-1.48

-6.48

-1.16

-1.36

-1.40

-1.45

-2.09

-1.08

-3.14

-0.70

-5.13

-13.36

-2.39

-1.90

-1.43

-2.87

-2.33

-1.37

-3.89

-0.81

Source: Morningstar.
Notes: In Australia, portfolios are not displayed in full but used mainly for fund and portfolio analytics.

Source: Morningstar.

22

Momentum

Size

Valuation Uncertainty

Ownership Risk

Valuation

Economic Moat

Liquidity

Ownership Popularity

Financial Health

Value-Growth

Volatility



Table of Contents for the Digital Edition of Morningstar Magazine - April/May 2018

Contents
Morningstar Magazine - April/May 2018 - Cover1
Morningstar Magazine - April/May 2018 - Cover2
Morningstar Magazine - April/May 2018 - 1
Morningstar Magazine - April/May 2018 - 2
Morningstar Magazine - April/May 2018 - Contents
Morningstar Magazine - April/May 2018 - 4
Morningstar Magazine - April/May 2018 - 5
Morningstar Magazine - April/May 2018 - 6
Morningstar Magazine - April/May 2018 - 7
Morningstar Magazine - April/May 2018 - 8
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Morningstar Magazine - April/May 2018 - 21
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