Capital Markets: Observations & Insights

Factor Performance ​ 2Q16 Review

• The most dominant factor for stock performance has been dividend yield as investors focus on bond-like equity characteristics rather than fundamentals

5.7

2Q16 Excess Return (%)

YTD Excess Return (%)

2.4

0.9

0.8

1.0

0.1

-0.2

-0.1 -0.1

-0.5

-0.3

-0.9 -0.9

-0.6

-1.9

-2.5

-1.3 -1.4

-3.0 -3.0

-3.4

Book/Price

Book/Price

Debt/Equity

Debt/Equity

Price Volatility

Dividend Yield

Price Volatility

Earnings/Price

Revenue/Price

Dividend Yield

Earnings/Price

Revenue/Price

Trading Activity

Trading Activity

Relative Strength

Relative Strength

EPS Growth Rate

EPS Growth Rate

Log of Market Cap

Log of Market Cap

Earnings Variability

Earnings Variability

Source: FactSet as of 06/30/16 using Northfield defined quantitative factors for the Northfield broad U.S. market database.

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