Australia Macro+ Quant Matters | Asia Pacific Factor Effectiveness – June

研报英文原文证据摘录

Australia Macro+ Quant Matters | Asia Pacific Factor Effectiveness – June

Idea

July 7, 2026 12:09 AM GMT

Morgan Stanley Australia Limited+MAustralia Macro+ Quant Matters | Asia Pacific Antony Conte

Equity Strategist

Factor Effectiveness – June Antony.Conte@morganstanley.comChris Nicol +61 2 9770-1544

Chris.Nicol@morganstanley.com +61 3 9256-8909

June’s modest index gain concealed a decisive factor reversal. Chris Read

Resources-led momentum unwound; defensive quality re-rated; EquityChris.Read@morganstanley.comStrategist and Australia Economist +61 2 9770-1513

leadership shifted toward Health Care, Staples and domestic Isabel Black

cyclicals. Isabel.Black@morganstanley.com +61 2 9775-2519MJune 2026 delivered modest equity gains (ASX 200 +0.7% TR), but the underlying

factor and sector dynamics were far more pronounced. The month was

characterised by:

• A sharp unwind in Resources-led leadership shifted market performance

Exhibit 1 : 12M price momentum net sector

toward Health Care, Consumer Staples and Consumer Discretionary, while

exposure (June vs May) – Materials remains

Energy and Materials lagged, shaping factor outcomes. If the June trends

the key OW; Discretionary and Industrials

were to continue it would challenge consensus positioning.

exposure reduced, while Energy long exposure

• A defensive-quality regime, with investors rewarding profitability, operating

declined following WDS removal

discipline, buybacks, cash-flow yield, dividend yield and low volatility. Quality

Net Exposure

was the standout style factor, gaining +8.4% L/S supported by profitability Sector Long Short Current Previous

MAT 90.6% 1.9% 88.7% 85.4%

and operating quality signals. UTIL 0.0% 0.0% 0.0% 0.0%