What Factors Are Working In European Stock Selection

Every week we regress the performance of all regions and sectors in the MSCI World Index against a variety of fundamental, technical and economic variables.  We deconstruct an aggregate into deciles and compare the performance of each decile to a given factor.  The goal is to identify factors that have a high level of statistical significance with performance in order to understand performance trends underneath the surface of the equity markets.

For example, in the last week, in Europe performance has been mostly related to two factors: 1) sales growth and 2) 3 month change in sales growth expectations.  In the tables below, we show the relationship between each factor and the performance of each decile.

Factor Performance of MSCI Europe vs. Sales Growth


The companies with the best sales growth estimates for 2014 tended to outperform last week, with sales growth explaining 73% of the movement of European stocks.

Factor Performance Europe vs. 3-month Change in Sales Estimates


The companies with the best sales growth revisions also did the best last week, with sales revisions explaining 76% of the movement in European stocks.

Below are the 10 companies in Europe with the best sales growth estimates for 2014.

2014 Sales Growth


Below are the 10 companies with the best revisions to 2014 sales growth.

Percent Revision to 2014 Sales Growth