杰富瑞的中小盘股因子记分卡——5月对我们的因子主题有利

Liquidity3.91.710.1 Q1/Q5 SpreadsQualityBalance SheetGrowthMomentum0.0-4.32.3-0.30.84.0-0.93.41.6-2.20.97.5 Steven G. DeSanctis, CFA * | Equity Strategist(212) 284-2056 | sdesanctis@jefferies.comJane Gibbons * | Equity Associate(212) 778-8657 | jgibbons1@jefferies.comSTRATEGY NOTENice bounce back by factors in May0.0Source: FactSet; FTSE Russell; JefferiesSome improvement in Valuation factors butmore to go-Source: FactSet; FTSE Russell; JefferiesMomentum slipped again but more to go inour opinionSource: FactSet; FTSE Russell; Jefferies Risk-6.1-1.55.3 .-30-10103050Avg.-70-40-10205080 Efficiency factors worked well in May:Small caps rallied in May, and over 60% of our factors worked, based onQ1/Q5 spreads. Our Efficiency factor block worked well, with a spread of8.7%, and the top factor, Asset Turnover, coming from this block.Liquidity and Valuation were middle of the pack and returned 3.9% and 3.5%,respectively.Quality and Momentum were barely in the red. Meanwhile, Risk (Low) andBalance Sheet failed in May, with spreads of -6.1% and -4.3%, respectively.Three of the bottom five factors came from our Risk block.Please see important disclosure information on pages 12 - 16 of this report.This report is intended for Jefferies clients only. Unauthorized distribution is prohibited. Low Risk worked well over the past 3months:Thanks to the strong showing in May, Efficiency has been the best factorover the last 3 months, returning 4.3%. Balance Sheet and Momentum werenext best, returning 4.0% and 3.4%, respectively.Growth, Valuation, and Balance Sheet were in the red over the last threemonths, returning -0.9%, -1.0%, and -1.5%, respectively.Please see important disclosure information on pages 12 - 16 of this report.This report is intended for Jefferies clients only. Unauthorized distribution is prohibited. Nearly 75% of our factors are workingYTD, Liquidity at the top:A majority of our factors have worked thus far YTD, with Liquidity at the topof the class at 10.1%. Momentum and Efficiency were next-best, returning7.6% and 7.2% each.Balance Sheet is the only factor in the red year to date, with Q1/Q5 spreadsof -2.4%.Please see important disclosure information on pages 12 - 16 of this report.This report is intended for Jefferies clients only. Unauthorized distribution is prohibited. Balance Sheet is the worst factor overpast 12 months:Unsurprisingly, Momentum has been the best factor over the last 12months, returning 22.8%, hence we would want to fade this block. Liquidityand Quality have performed well, returning 16.4% and 12.9%, respectively.Balance Sheet and Valuation factors are the only two blocks in red overthe past year, but their returns were very different. Valuation is only downby 1.6%, while Balance Sheet returned -14.0% in the last 12 months. Thismakes sense, as HY spreads are well below their long-term average.Please see important disclosure information on pages 12 - 16 of this report.This report is intended for Jefferies clients only. Unauthorized distribution is prohibited. Even based on Q1 vs Universe,Efficiency worked well in May:In addition to long/short, we review factor performance versus the universe.Performance spreads tend to be tighter when we compare our factor blocksto the universe, which is exactly what we saw in May. Efficiency was stillthe leader at 3.7%, thanks to Asset and Equity Turnover. Liquidity, Growth,and Momentum were next-best at 2.3%, 1,6%, and 1.3%, respectively.Risk and Balance Sheet were the only two factors in the red, both withspreads vs. the Universe of -2.5%.Please see important disclosure information on pages 12 - 16 of this report.This report is intended for Jefferies clients only. Unauthorized distribution is prohibited. Efficiency & Momentum best factorsover last three months:Efficiency and Momentum have worked well over the last three months,with spreads at 3.3% and 2.8%.On the reverse, Quality, Growth, and Valuation were the worst performingfactors, all in the red, returning -0.6%, -0.8%, and -1.6%. Despite being one ofthe worst factor blocks, the top factor overall, ROE, came from our Qualityblock and returned almost 6%.Please see important disclosure information on pages 12 - 16 of this report.This report is intended for Jefferies clients only. Unauthorized distribution is prohibited. FactorYoY Change in Trailing SalesDebt to CapitalROEInterest CoverageAsset TurnoverEfficiencyYoY Change in Trailing FCFOperating Margin ExpansionBalance SheetReceivables TurnoverMomentum12Mo Price ChangeEstimates Diffusion1Mo Chg in 200D MAFY1/FY0 EPS Growth5Yr Trailing EPS GrowthFCF ROACurrent RatioEPS VariabilityFCF ROICEquity TurnoverQuick RatioYoY Change in Interest CoverageLiquidityFCF / EmployeeROICShort Interest5Yr Trailing Sales GrowthYoY Change in Trailing EPSEPS FY1 DispersionEarnings Surprise (S.U.E.)QualityLT GrowthSales/EV3Mo Avg Daily Dollar VolumeFY2/FY1 EPS GrowthShare RepurchasesFCF YieldEarners vs Non-EarnersTrailing E/P3Mo Avg Daily VolumeGrowthFY1 E/PR