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Active Quantitative Equity (AQE)

Fund Update – September 2023

2 min read

Global developed market equities fell in September, as US yields rose by 49bps to 4.57%, and expectations of the Fed's hawkish tone continued. Global economic growth remained lackluster in the third quarter, with manufacturing activities contracting for the fourth month running and services sector growth also slowing down. Business activity in the United States (US) rose at a weaker pace, signaling broad stagnation in output amid muted demand conditions. Activities in the eurozone rebounded by a bit in September, but still remained in contractionary territory. Core inflation numbers showed a disinflationary trend, while the labor market continued to be relatively robust across key developed economies.


The State Street Global Equity Fund outperformed the MSCI World ex Australia Index during September1. Our Alpha model performance was strong in September, with positive contribution from Value factors followed by Sentiment and Quality factors, while Catalyst factor was slightly down. From a country and sector perspective, good stock picking within US Technology and US Health Care sector were key contributors towards relative performance. On the other hand, poor stock selection within Japanese Financials and UK Consumer Staples sectors were the key detractors. Currency hedging detracted -0.05% during the month.

Notable changes during the month:

During September, we made minor adjustments to the overall portfolio with the aim of improving expected risk-adjusted returns. The rebalance involved slightly increasing our exposure to select names in the Technology Hardware Storage & Peripherals (notably Dell Technologies on the back of increasing Catalyst score) and Diversified Metals & Mining company Glencore on the back of improving Sentiment scores. At the same time, we reduced our exposure to select Food Retail companies – such as J Sainsbury (falling Sentiment and Catalyst scores) and Koninklijke (on the back of falling Sentiment score).