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