Quant Insight: Sector Focus: What‘s Working in the Banks Sector? Monthly Update

Research evidence excerpt

Quant Insight: Sector Focus: What‘s Working in the Banks Sector? Monthly Update

Global Research

6 July 2026ab

Quant Insight: Sector Focus Equities

GlobalWhat's Working in the Banks Sector? Monthly

Update Quantitative

Anita Mansbridge, FIAA

Analyst

anita.mansbridge@ubs.com

Unveiling a macro-driven, value-quality rotation strategy in global banks +852-2971 7302

In Quant Insight: Sector Focus "What Works in the Banks Sector?", we introduced our Nicolo Menez

series of sector-specific notes, layering a quant approach over fundamental sector Analyst

insights. We identified a macro-driven value vs. quality rotation strategy that historically nicolo.menez@ubs.com

outperformed by 8% p.a. on average across the US, Europe, All Country (AC) Asia ex- +1-212-713 3183

Japan, and Australia banking sectors. After observing the relationship between return Paul Winter

on tangible common equity (ROTCE, fundamental measure) and price to tangible book Analyst

value (P/TB, valuation measure), we found that value tends to outperform in the majority paul-j.winter@ubs.com

of global regions, except during times of market stress, when investors pivot to quality +61-2-9324 2080

(higher ROTCEs & higher P/TB valuation). Oliver Antrobus, CFA

Current environment oliver.antrobus@ubs.com

We update our model to reflect the current macroeconomic environment and see +61-3-9242 6467

current positioning in banks. As of 2 July, the release date of the June US unemployment Will Stephens

data, the unemployment rate has decreased to 4.2% (-0.1%). This new data signals a Analyst

continuation of Value across the US, Europe, and AC Asia ex Japan, and Quality will.stephens@ubs.com

in Australia (Figure 1CurentpositioningforValueandQuality&StockScren). +852-3712 3892

Cathy Fang, PhD