2024 breaks with conventional explanations

• Factor analysis: 2024 provided for complex developments on the equity markets
• Index concentration challenge: this factor was able to generate outperformance
• Risk-sensitive factor strategies were (often) not rewarded with higher performance

Most investors will probably remember 2024 as a consistently positive and "easy" stock market year - with global equity indices posting double-digit returns. However, Assenagon's latest factor analysis reveals a much more complex picture of market dynamics. For example, the performance differences between actively managed global equity strategies have rarely been as great as they were last year.

"Seven stocks were largely responsible for the good performance of the global equity market," says Daniel Jakubowski, Head of Equity Portfolio Management at Assenagon. "This historically unprecedented concentration meant that all investment strategies that were not overweighted in the so-called 'Magnificent Seven' were punished."
 

2024 breaks with familiar patterns

Another exciting development over the past year relates to risk control in portfolio construction: "At Assenagon, we pursue a long-term investment horizon. And in the long term, uncontrolled side effects are not worthwhile. This is because such deviations from the market (e.g. in sectors, countries or the inclusion of increased individual security risks) always entail increased relative risks," states Dr. Ulrich Wessels, Director Institutional Sales. However, in phases in which a factor (such as value, size or momentum) outperforms the global equity market in the short term, uncontrolled, ergo higher-risk factor strategies generally show a higher outperformance than their controlled, lower-risk variant.

This empirical explanatory pattern was broken in 2024 - as Daniel Jakubowski points out: "The value-driving factor par excellence in 2024 was the momentum factor. This means that shares with above-average price gains in the recent past will, on average, continue to rise in value in the short to medium term. However, contrary to all expectations, a holistically constructed momentum strategy performed almost 3% better than its uncontrolled, and therefore riskier, counterpart." The good momentum year 2024 did not reward additional risks in the form of uncontrolled side effects - on the contrary: these even cost outperformance.

You can read the detailed analysis in the latest issue of Assenagon Equity Insights.

Munich, May 15, 2025