Capital Markets: Observations & Insights

Yield Punished ​ Performance

• In 1Q18, rising interest rates continued to put pressure on high dividend yielding stocks, driving underperformance of that factor

2017 Excess Return (%)

1Q18 Excess Return (%)

2.6

1.1 1.0

0.1 0.1 0.1 0.0

-0.1 -0.3 -0.5 -0.6 -0.7 -0.7

-0.3

-0.7

-1.2

-1.6 -1.8 -1.9

-1.7

-3.5

-4.0

Market Cap

Book / Price

EPS Growth

Debt / Equity

Price Volatility

Dividend Yield

Market Cap

Trading Activity

Book / Price

Earnings / Price

Revenue / Price

EPS Growth

Debt / Equity

Relative Strength

Price Volatility

Dividend Yield

Trading Activity

Earnings Variability

Earnings / Price

Revenue / Price

Relative Strength

Earnings Variability

Source: FactSet as of 3/31/18 using Northfield defined quantitative factors for the Northfield broad U.S. market database.

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