2025-06-04-Jefferies-杰富瑞的中小盘股因子记分卡——5月对我们的因子主题有利_16页_410kb

JEF's SMID-Cap Factor Scorecard—May Was Good For Our Factor Themes

Core Summary

In May, JEF's SMID-cap factor themes showed a strong rebound, with nearly two-thirds of the tracked factors posting positive Q1/Q5 spreads. The overall performance of the factor blocks was mixed, with Efficiency leading the way and Risk (Off) underperforming significantly. The report highlights the performance of each factor block across different time frames and provides insights into the drivers of their performance.

Key Factor Block Performance in May

• Efficiency: Led with a spread of 8.7%, driven by strong performance in Asset Turnover and Equity Turnover.
• Liquidity: Returned 3.9%, performing well compared to other blocks.
• Valuation: Posted 3.5%, showing improvement but still flat year-to-date.
• Quality: Had a minimal spread of 0.0%, with some factors like ROE performing positively.
• Growth: Returned 2.3%, with some positive contributors like FY2/FY1 EPS Growth.
• Momentum: Slightly negative at -0.3%, showing signs of weakening.
• Balance Sheet: Poor performance at -4.3%, due to HY spreads narrowing.
• Risk (Off): The worst performer with a spread of -6.1%, driven by high beta stocks.

Year-to-Date (YTD) Performance

• Liquidity was the best factor block with a YTD spread of 10.1%.
• Efficiency and Momentum also performed well, with YTD spreads of 7.2% and 7.6%, respectively.
• Valuation had a YTD spread of 0.3%, showing little impact.
• Balance Sheet was the only block in the red, with a YTD spread of -2.2%.

Factor Performance Across Time Frames

Q1/Q5 Spreads (May)

• Efficiency: +8.7%
• Liquidity: +3.9%
• Valuation: +3.5%
• Momentum: -0.3%
• Balance Sheet: -4.3%
• Risk (Off): -6.1%

Last 3 Months

• Efficiency: +4.3%
• Balance Sheet: +4.0%
• Momentum: +3.4%
• Growth: -0.9%
• Valuation: -1.1%
• Quality: +0.8%
• Risk (Off): -1.5%

Year to Date

• Liquidity: +10.1%
• Efficiency: +7.2%
• Momentum: +7.5%
• Quality: +1.6%
• Growth: +0.9%
• Valuation: +0.3%
• Balance Sheet: -2.2%
• Risk (Off): +5.3%

Top Performing Factors

• Efficiency:
  • Asset Turnover: +8.62%
  • Equity Turnover: +4.86%
  • FCF / Employee: +2.45%
• Liquidity:
  • 3Mo Avg Daily Dollar Volume: +1.86%
  • Short Interest Ratio: +1.48%
• Momentum:
  • 12Mo Price Change: +1.15%
  • Estimates Diffusion: +0.00%
• Quality:
  • ROE: +5.14%
  • Operating Margin Expansion: +4.09%
• Growth:
  • YoY Change in Trailing Sales: +6.00%
  • YoY Change in Trailing FCF: +5.40%

Underperforming Factors

• Risk (Off):
  • Risk (Off): -6.11%
  • Beta: -5.45%
  • 1Yr Daily Price Volatility: -5.28%
• Balance Sheet:
  • Balance Sheet: -4.30%
  • Quick Ratio: -5.31%
  • Current Ratio: -6.89%
• Valuation:
  • Fwd PEG: -3.44%
  • Book/Price: -3.54%
  • Div Yield: -2.01%

Key Insights

• Efficiency was the top-performing block in May, with strong differentiation due to lower VOL and reduced pair-wise correlations.
• Risk (Off) was the worst performer in May, due to high beta stocks driving the market rally.
• Momentum showed signs of weakening, but still had some positive performance in May.
• Valuation had mixed performance, with some factors performing well but the overall block flat YTD.
• Balance Sheet was the only factor block in the red year-to-date, though its performance was not as poor as Risk (Off).
• Liquidity was the best factor block YTD, indicating strong market activity and investor interest.
• The report suggests that while some factors are performing well, others still require further improvement.

Conclusion

May was a strong month for JEF's SMID-cap factor themes, with Efficiency leading the charge and Risk (Off) lagging. The performance highlights the importance of diversification and the role of market volatility in shaping factor returns. While the overall market remains positive, the report emphasizes that certain factors, such as Momentum and Valuation, still have room for improvement.