In foreign developed markets, value stocks have been the best performing factor on a year-to-date basis through November 30, 2021. Quality and growth stocks have also outperformed the MSCI EAFE Index as well.
The anemic returns for momentum and yield oriented stocks have been disappointing.
When examining the excess returns on a five-year basis, quality, growth and momentum have delivered the highest excess returns relative to the MSCI EAFE Index.
It is not a huge surprise that value and high dividend stocks have not outperformed the MSCI EAFE Index over the last five years.