Factor Performance 2022


Not long after reaching an all-time high in 2021, global equities showed a significant reverse in trend following Russia’s war against Ukraine, disruption in the supply-demand dynamics, rising rates and surging inflation. This paper provides a review of the factor performance in 2022 across diversified multi-asset alternative risk premia and a summary on how the macroeconomic environment has impacted global factor performance: equity market neutral, multi-asset trend and commodity factors.

Macro Market Review

The 2022 global equity market has seen significant market reversal compared to the previous year, plagued by inflationary pressures and geopolitical conflicts. Just as we thought 2022 was a tough year for stocks, bonds fared even worse across all global markets. The Federal Reserve’s rate hikes–as an effort to curb inflation–have led to deep drops in bond prices, with a strong dollar further contributing to making bonds less attractive to investors. Credit spreads markedly widened against the threat of a potential recession. While inflation is still far from Powell’s 2% target, it is expected to gradually ease off in 2023 as we have concluded the year with a YoY CPI of 7.1% following the ghastly spike to 9.1%. Russia’s war against Ukraine has shaken global energy and commodities markets, with a surge in oil and gas prices following the European Union’s decision to ban over 90% of all imports from Russia by the end of 2022.

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