Capital Markets: Observations & Insights

Value Has Lagged ​ Performance

• Year-to-date, value factors have been the worst performers

2Q18 Excess Return (%)

YTD Excess Return (%)

3.1 3.0

3.1

2.4

1.4

0.3

0.2

-0.2

-0.7 -0.7 -0.7

-0.7

-1.3 -1.5

-1.3 -1.3

-1.4

-1.4

-1.8 -1.9

-1.7

-2.2

Market Cap

Book / Price

EPS Growth

Market Cap

Debt / Equity

Book / Price

EPS Growth

Debt / Equity

Price Volatility

Dividend Yield

Price Volatility

Dividend Yield

Trading Activity

Earnings / Price

Revenue / Price

Trading Activity

Earnings / Price

Revenue / Price

Relative Strength

Relative Strength

Earnings Variability

Earnings Variability

Source: FactSet as of 6/30/18 using Northfield defined quantitative factors for the Northfield broad U.S. market database.

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