Capital Markets: Observations & Insights

Scale Rewarded ​ Performance

• Large cap stocks with low volatility did best in 2017, while dividend yield, which had benefitted in recent years from lower rates, underperformed • Tax reform drove 4Q17 performance; many domestic stocks that have low revenue multiples and high tax rates outperformed

2017 Excess Return (%)

4Q17 Excess Return (%)

2.6

1.7

1.5 1.4

0.7

1.1 1.0

-0.3 -0.4 -0.4

-0.3

-0.9 -1.0

-0.7

-1.4

-1.2

-1.6 -1.8

-1.9

-2.2

-3.5

-4.0

Market Cap

Book / Price

EPS Growth

Market Cap

Debt / Equity

Book / Price

EPS Growth

Debt / Equity

Price Volatility

Dividend Yield

Price Volatility

Trading Activity

Dividend Yield

Earnings / Price

Revenue / Price

Trading Activity

Earnings / Price

Revenue / Price

Relative Strength

Relative Strength

Earnings Variability

Earnings Variability

Source: FactSet as of 12/31/17 using Northfield defined quantitative factors for the Northfield broad U.S. market database.

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