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International Style | Seeking Alpha

By Andrew Ang, PhD

I have been fortunate to have had the opportunity to work and live across the globe. I was born in Malaysia, before my family migrated to Perth, Australia. I was a foreign exchange student in high school infactors

US Factor ETF AUM over time

Source: BlackRock GBI as of 12/31/22 Includes US domiciled ETFs classified as smart beta by BlackRock Global Business Intelligence.

Average 1-year International Premiums (Long/Short)

Source: Analysis by BlackRock using Ken French data library (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) and AQR data set (https://www.aqr.com/Insights/Datasets/Betting-Against-Beta-Equity-Factors-Monthly) as of 1/31/23. Data from November 1990 through January 2023. Premiums are calculated as long/short. International stocks for size, value, quality, and momentum represented by Developed ex US stocks as classified by Ken French Data Library. Minimum volatility represented by Global ex USA stocks as classified by AQR data set. Low size represented by SMB (small minus big). Value represented by HML (high book-to-market minus low book-to-market). Quality represented by RMW (robust minus weak). Momentum represented by WML (winners minus losers). Low Vol represented by BAB (betting against beta). Counterparts for size, value, quality, momentum, and min vol are larger firms, higher priced stocks, less profitable stocks, downward trending stocks, and higher beta securities.

Percentage of periods factors have outperformed their counterparts

Source: Analysis by BlackRock using Ken French data library (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) and AQR data set (https://www.aqr.com/Insights/Datasets/Betting-Against-Beta-Equity-Factors-Monthly) as of 1/31/23. Data from November 1990 through January 2023. Premiums are calculated as long/short. International stocks for size, value, quality, and momentum represented by Developed ex US stocks as classified by Ken French Data Library. Minimum volatility represented by Global ex USA stocks as classified by AQR data set. Low size represented by SMB (small minus big). Value represented by HML (high book-to-market minus low book-to-market). Quality represented by RMW (robust minus weak). Momentum represented by WML (winners minus losers). Low Vol represented by BAB (betting against beta). Beta measures volatility of a stock compared to the market as a whole. Counterparts for size, value, quality, momentum, and min vol are larger firms, higher priced stocks, less profitable stocks, downward trending stocks, and higher beta securities. 1-year and 3-year periods are calculated by using rolling 1-year and 3-year periods using monthly returns. Beat rate shows the historical percentage of periods that the factor outperformed (“beat”) its counterpart.

Correlations between US and International Factors

Source: Analysis by BlackRock using Ken French data library (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) and AQR data set (https://www.aqr.com/Insights/Datasets/Betting-Against-Beta-Equity-Factors-Monthly) as of 1/31/23. Data from November 1990 through January 2023. Premiums are calculated as long/short. International stocks for size, value, quality, and momentum represented by Developed ex US stocks as classified by Ken French Data Library. Minimum volatility represented by Global ex USA stocks as classified by AQR data set. Low size represented by SMB (small minus big). Value represented by HML (high book-to-market minus low book-to-market). Quality represented by RMW (robust minus weak). Momentum represented by WML (winners minus losers). Low Vol represented by BAB (betting against beta). Counterparts for size, value, quality, momentum, and min vol are larger firms, higher priced stocks, less profitable stocks, downward trending stocks, and higher beta securities.

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