Chris Riley: Which regions offer the best factor returns?

Our analysis suggests the size of factor premiums have been higher across some regions than others - and, in particular, the factor premiums available in the North American market have declined over the last 10 years. Factor returns relate to investment returns attributable to a specific aspect of a stock, such as it being trading at a lower price than its fundamentals might suggest (value) or having an upward price trend (momentum). This article will focus in on four major factors: size, value, quality and low investment. The factor premiums are calculated by subtracting the returns ...