Global stocks continued to recover from last year’s drawdown, with the MSCI All Country World IMI Index returning 6% over the quarter and outperforming global bonds, as measured by the Bloomberg Global Aggregate Bond Index, for the third consecutive quarter. In the US, inflation expectations remained moderate, as 5-year breakeven rates stayed under 2.5% during the quarter. Market volatility continued a downward trend in 2023, as the Cboe Volatility Index hit year-to-date lows in June.
Globally, information technology was the best performing sector, lifting the returns of large growth stocks, while value-oriented sectors such as energy and financials lagged the overall market.
Large growth stocks with low profitability did particularly well, as names like NVIDIA returned over 50% while Tesla and Netflix returned over 25%.
In the US, size, value, and profitability premiums were all negative as large growth stocks with low profitability outperformed. Other developed markets saw positive value premiums yet faced negative size and profitability premiums. Equity returns in emerging markets lagged developed markets but the premium environment was slightly more favorable, as the size and value premiums were positive and the profitability premium—while negative overall—was positive within small caps.
Global Asset Class Returns Q2 2023
Global Sector Returns Q2 2023
Sources & Disclosures:
Past performance is no guarantee of future results. This information is provided for registered investment advisors and institutional investors and is not intended for public use. This material was provided by Dimensional Fund Advisors LP is an investment advisor registered with the Securities and Exchange Commission.
Market segment (index representation) as follows: US Stock Market (Russell 3000 Index), Developed ex US Stocks (MSCI World ex USA IMI Index [net div.]), Emerging Markets (MSCI Emerging
Markets IMI Index [net div.]), US Bond Market (Bloomberg US Aggregate Bond Index), and Global Bond Market ex US (Bloomberg Global Aggregate ex-USD Bond Index [hedged to USD]), Global
Stock Market (MSCI All Country World IMI Index [net div.]). Sector returns are derived by Dimensional using constituent data from the MSCI All Country World IMI Index. Returns for specific securities
are sourced from the MSCI All Country World IMI Index using daily security returns. Securities without a GICS sector are excluded. Sectors are classified according to GICS Industry code. GICS was
developed by and is the exclusive property of MSCI and S&P Dow Jones Indices LLC, a division of S&P Global.S&P data © 2023 S&P Dow Jones Indices LLC, a division of S&P Global. All rights
reserved. Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. MSCI data © MSCI 2023, all rights reserved. Bloomberg
data provided by Bloomberg. Indices are not available for direct investment. Index performance does not reflect the expenses associated with the management of an actual portfolio. References to
specific company securities should not be construed as a recommendation or investment advice. Global Premium Returns are computed from MSCI All Country World IMI Index published security
weights and Dimensional computed security returns and Dimensional classification of securities based on size, value, and profitability parameters. Within the US, Large Cap is defined as
approximately the largest 90% of market capitalization in each country or region; Small Cap is approximately the smallest 10%. Within the non-US developed markets, Large Cap is defined as
approximately the largest 87.5% of market capitalization in each country or region; Small Cap is approximately the smallest 12.5%. Within emerging markets, Large Cap is defined as approximately
the largest 85% of market capitalization in each country or region; Small Cap is approximately the smallest 15%. Designations between value and growth are based on price-to-book ratios. Value is
defined as the 50% of market cap with the lowest price-to-book ratios by size category and growth is the highest 50%. Profitability is measured as operating income before depreciation and
amortization minus interest expense scaled by book. High profitability is defined as the 50% of market cap with the highest profitability by size category and low profitability is the lowest 50%. REITs
and utilities, identified by GICS code, and stocks without size, relative price, or profitability metrics are excluded from this analysis. Countries not in the Dimensional investable universe are excluded
from the analysis. Their performance does not reflect the expenses associated with the management of an actual portfolio. This information is intended for educational purposes and should not be
considered a recommendation to buy or sell a particular security. Named securities may be held in accounts managed by Dimensional.