Periodic Table: Equity Factor

Annual Returns for Selected Asset Classes  (hover over assets to highlight)

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
14.30% 20.10% 43.20% 17.70% 9.30% 21.30% 37.80% 1.50% 36.30% 29.60% 18.50%
12.90% 16.80% 38.80% 16.50% 5.60% 16.30% 27.30% -1.60% 34.40% 27.80% 12.70%
10.10% 16.30% 37.40% 14.90% 4.60% 15.90% 22.50% -2.30% 28.10% 20.00% 8.00%
7.50% 15.70% 35.00% 14.80% 2.60% 14.00% 22.20% -2.90% 28.00% 17.10% 7.80%
7.30% 15.10% 34.80% 14.70% 0.70% 13.70% 21.50% -5.30% 27.70% 11.40% 5.70%
6.10% 12.80% 34.30% 13.60% 0.40% 10.70% 19.50% -5.60% 26.60% 5.80% 5.20%
-2.70% 11.20% 28.90% 13.00% -0.90% 9.40% 19.20% -9.70% 25.50% 5.20% 4.70%
-3.40% 10.70% 28.90% 10.70% -4.40% 7.70% 14.60% -11.00% 22.50% 1.70% 2.30%
-4.20% 10.60% 25.30% 4.90% -6.40% 5.10% 12.30% -11.10% 21.40% -0.20% -0.20%

Source: FactSet, MSCI, Russell, Standard & Poor’s, J.P. Morgan Asset Management. The MSCI High Dividend Yield Index aims to offer a higher than average dividend yield relative to the parent index that passes dividend sustainability and persistence screens. The MSCI Minimum Volatility Index optimizes the MSCI USA Index using an estimated security co-variance matrix to produce low absolute volatility for a given set of constraints. The MSCI Defensive Sectors Index includes: Consumer Staples, Energy, Health Care and Utilities. The MSCI Cyclical Sectors Index contains: Consumer Discretionary, Communication Services, Financials, Industrials, Information Technology and Materials. Securities in the MSCI Momentum Index are selected based on a momentum value of 12-month and 6-month price performance. Constituents of the MSCI Sector Neutral Quality Index are selected based on stronger quality characteristics to their peers within the same GICS sector by using three main variables: high return-on-equity, low leverage and low earnings variability. Constituents of the MSCI Enhanced Value Index are based on three variables: price-to-book value, price-to-forward earnings and enterprise value-to-cash flow from operations. The Russell 2000 is used for small cap. The MSCI USA Diversified Multiple Factor Index aims to maximize exposure to four factors – Value, Momentum, Quality and Size. Annualized volatility is calculated as the standard deviation of quarterly returns multiplied by the square root of 4. Data as of April 9, 2021.