经济学周刊：质量的奇妙案例

William Blair Some of the questions we continue to hear from clientsare: What’s happened to quality stocks? Why have they hadsuch middling performance over the last few years and, inparticular, over the last year? And what might change goingforward?In thisEconomics Weekly,we discuss the curi- In factor investing, quality typically refers to firms thatexhibit persistently strong fundamentals across severaldimensions—most commonly profitability, growth, andstability. In practice, quality is often proxied using ac-counting-based measures, such as: return on equity, grossprofitability, accruals, leverage, and the stability they Despite being overachievers in a semi-efficient market,these companies do not always outperform, as shown inexhibit 2. Quality experienced an exceptionally strongperiod of outperformance from the end of 1995 to 2011,with a CAGR of 9.1%—more than double the 4.1% returnfor the S&P 500. Quality then proceeded to modestlyunderperform the index for the following decade to 2021, These firms tend to have low debt, more resilient balancesheets, and more predictable operating performance. Assuch, they also have lower betas and are often associatedwith defensive characteristics that are normally sought-after qualities during periods of macroeconomic stressor heightened risk aversion. Quality is also distinct frompure growth or pure value. While the two can overlap,quality is better understood as the persistence and ro- In terms of sector representation, the S&P 500 QualityIndex has a fixed number of 100 companies drawn fromthe S&P 500. The most represented sector by numberof companies in the index is the industrials, followed byinformation technology (exhibit 1). On a market cap-weighted basis, however, information technology ac-counts for almost 50% of the index due to the inclusion of In exhibit 3, we plot the performance of the S&P 500Quality Index against the S&P 500 across years 1 to 30. Asshown, there was strong underperformance over the lastyear and a slight underperformance over years 3 and 10, William Blair As we discussed several weeks ago (Economics Weekly:Inflation Regime Shifts and the Return of Quality GARP Investing), we think that quality stocks’ middling per-formance following the global financial crisis (exhibit 2)—and a more significant deterioration post-2015—wasa direct result of a shift in the inflation regime, which en-couraged central banks to maintain large balance sheetsand keep rates lower for longer. In this regime, bothquality and valuation became less important drivers ofperformance, whereas risk-on and momentum prevailed. The inflation regime shift precipitating the downgradeof quality as a factor was the combined result of hyper-globalization (which made the availability of capital cheapand ultraefficient) and cheap and abundant labor (due to We believe that since COVID, the inflation regime shifted.Both of these sources of previously disinflationary pres-sures are now reintroducing friction into the system, with The labor market is now structurally tight, due to a slowerbirth rate, retiring baby boomers, and stringent immigra-tion restrictions. Meanwhile, trade agreements have beenshredded, tariffs have been introduced, wars are chokingoff supply routes, and increasingly extreme weather eventsare frequently destroying crops or downing production This outcome is consistent with the seminal 2018 paper onquality factor investing by Clifford S. Asness, Andrea Frazzi-ni, and Lasse Heje Pedersen,Quality Minus Junk. The paperfound that quality stocks command a higher price thanjunk stocks, but only modestly so and not by large enoughof a margin to reflect their superior characteristics—i.e.,the market is not perfectly efficient and still leaves money In exhibit 5, for example, we highlight this inflation shift.As shown, from 2013 to 2020, the largest contributorsto inflation were cyclical components (where prices tendto be more sensitive to overall economic conditions), asopposed to acyclic components, which tend to be stickierand less cyclical. This period was consistent with a regimeof well-anchored inflation/inflationary expectations andno upside risks to inflation. This allowed central banks to William Blair Since 2023, we have seen a steady reacceleration in theacyclic components’ contribution to inflation, while thecontribution from the cyclical components has continuedto diminish. This type of inflation is harder for the Fedto look through, and it is consistent with rates having toremain higher for longer. This view is increasingly beingincorporated by the Fed and is showing up in its rhetoric,such as in Boston Fed President Susan M. Collins’s speechthis week: “Given this outlook and the balance of risks, I Since COVID, that correlation has disappeared. And whenthat happened, investors needed to begin looking for great-er diversification across other sectors, assets, and marketcaps—areas they may have previously shied away from inthe old inflation