Earnings season for 2025 didn’t break the trends

Since late December, relative factor leadership has strengthened rather than reversed.

We analysed weekly rebalanced top 20% factor baskets (equal-weighted) across:

• a S&P 500 proxy universe (US)
• a Stoxx Europe 600 proxy universe (Europe)

Benchmarks are the full proxy universes themselves, also equal-weighted and weekly rebalanced.

This highlights relative performance across stocks - not index concentration effects.

US (mid-Nov → mid-Feb)

• Momentum: +15%
• Value: +12%
• Equal-weight universe: +8%
• Growth & Quality: ~+5%

Dispersion between factor leaders and laggards reached ~10 points.

The widening accelerated from early January - during earnings season.

There was no broad factor reset.
Relative trends strengthened.

Europe  (mid-Nov → mid-Feb)

• Most factors clustered around +8–9%
• Equal-weight universe: ~+7%
• Quality lagged
• Dispersion ~6 points (lower than US)

Europe appears more balanced.
The US shows more concentrated leadership.

What the data suggests

This period has been highly selective.

Certain industries - notably Software, repricing on AI-related competitive pressure - have been sharply penalised. Others have continued trending strongly.

At the factor level:

• Momentum accelerated
• Value participated
• Quality underperformed
• US cross-sectional dispersion widened materially

This does not look like a macro-driven regime shift.

It looks more like a reinforcement phase - where earnings season confirmed relative positioning rather than disrupting it.

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