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August 2026 QiM Fact(or) Sheet

1 September, 2026
7 MIN READ 7 MIN READ
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Alejandra Munoz

Investment Associate

Market: US equities initially rallied as expectations for rate hikes fell before Iran tensions and elevated oil prices brought inflation and rate concerns back into focus. 

Macro: Labour and consumer data softened, and inflation eased at the margin, while business activity remained firm. The conflicting signals left investors debating whether the Fed could afford to ease.

Earnings: 86% of S&P500 companies beat EPS expectations, with CY2026 earnings growth estimates rising to 31.4%

Countries: Korea and Taiwan led on semiconductor bounce. Canada benefited from Financials and commodities, while France lagged as fiscal and political uncertainty increased.

Sectors: Technology bounced from the last month’s momentum trade deleveraging. Materials benefited from the preciousmetals rally, while Energy gained from both higher oil prices and strong earnings.

Factors: There was no clear factor leadership in Developed Markets apart from rising risk appetite weighing on Low Volatility. In Emerging Markets, the semiconductors bounce helped Momentum, reflecting the enormous weight of semiconductor stocks in the index.

Factor families

Exhibit 1: August 2026 QiM Investable factor proxies versus respective capitalization weighted indexes

 

August heat map

Source: SEI, based on data from MSCI, Axioma and FactSet. Data as of August 31, 2026. Returns quoted in USD. Metrics are composites of underlying ratios that SEI has determined to be appropriate measures of each factor. Data refers to past performance of top-tercile factor-proxy portfolios vs. the capitalisation-weighted benchmark and rebalanced quarterly. Returns are for illustrative purposes only and do not represent actual fund performance. Excess returns measured against (in descending order): MSCI ACWI Large Cap, MSCI USA Large Cap, MSCI EAFE Large Cap, MSCI EM Large Cap, MSCI USA Small Cap, MSCI EAFE Small Cap Indexes. Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance is no guarantee of future results.

Adaptive Outlook

Summary: Maintaining Value overweight.

  • Trend: Value's outperformance trend is intact, though its pace continues to ease. Quality is picking up modestly.
  • Valuation: Quality remains the cheapest family on relative valuation and Momentum the most expensive.
  • Macro: Rate expectations moved further in Value's favour and away from Momentum. Economic activity indicators were flat.

 

Exhibit 2: August 2026 adaptive factor family positioning

August DFA Chart

 

Source: SEI, the axis displays z-score exposure versus benchmark, as of August 31, 2026. Long term average exposure from January 31, 2003, to current. Benchmark: MSCI World Index. 

Z-scores tell us how exposed a portfolio is to a factor, compared to a benchmark, based on what's normal for that factor. It is a common "currency" of portfolio exposures, making unrelated raw metrics like P/E or ROE comparable to each other. A value of zero means the portfolio is neutral to the benchmark for that factor. Higher values mean the portfolio has more exposure to that factor than the benchmark.

Economic indicators 

US.: Inflation eases as labour and consumer conditions soften

Jobs:  Labour market softens as hiring weakens

  • Nonfarm Payrolls: at -23.0K, below expectations and prior month. (20K R)
  • Unemployment Rate: 4.1%, marginally below expectations and prior month (4.2%).
  • Initial Jobless Claims: 205.5K monthly average, marginally above prior month average of 203.25K. 

Inflation – Underlying price pressures ease but remain elevated 

  • Core CPI: 2.5 (YoY), in line with expectations and below prior month. (2.6%) 
  • Core PCE Deflator: 3.3% (YoY), above expectations and in line with prior month. (3.3%) 
  • Hourly Earnings (preliminary): 3.2% (YoY), below expectations and prior month. (3.4% R) 

Consumer – Spending moderates while confidence remains subdued

  • Retail Sales: -0.60% (MoM, SA), below expectations and prior month. (0.25%)
  • Michigan Sentiment (preliminary): 51.0, below expectations and prior month. (55.2)
  • Consumer Confidence: 89.4, marginally below expectations and prior month. (90.2)

Manufacturing and Services – Business activity remains expansionary

  • S&P PMI Manufacturing, SA (preliminary): 53.2, below expectations and marginally below prior month. (53.9)
  • S&P PMI Services, SA (preliminary): 56.8, above expectations and prior month. (54.6)
  • Empire State Index, SA: 20.6, above expectations and prior month. (15.6)

Source: FactSet. Past performance is not a reliable indicator of future results.

 

The rest of the world 

China: Export growth remains strong as domestic activity softens

  • Exports: 23.9% (YoY), above expectations and below prior month. (27.0%) 
  • S&P PMI manufacturing: 50.9, below expectations and prior month. (51.7) 
  • S&P PMI services: 50.4, below expectations and prior month. (54.1) 
  • CPI: 0.5% (YoY), below expectations and prior month. (1.0%)

Japan: Manufacturing strengthens as services activity improves

  • CPI Core National: 1.8% (YoY), above prior month. (1.6)
  • S&P Manufacturing PMI (preliminary): 55.1, above prior month. (54.5)
  • S&P Services PMI: 52.3, marginally above prior month. (51.2)

Germany: Inflation rises while manufacturing strengthens

  • CPI: 2.8% (YoY), above prior month. (2.3%)
  • S&P Manufacturing PMI (preliminary): 54.1, above expectations and prior month. (52.2)
  • S&P Services PMI (preliminary): 48.5, below expectations and prior month. (49.8)

U.K.: Inflation remains elevated as services activity strengthens

  • CPI Core: 2.6% (YoY), above expectations and in line with prior month.
    • Services inflation eased from 3.6% to 3.4%, while goods inflation increased from 1.7% to 2.2%, indicating that underlying price pressures remained persistent.
  • S&P Manufacturing PMI (preliminary): 51.5, marginally below expectations and prior month. (51.9)
  • S&P Services PMI (preliminary): 52.8, above expectations and marginally above prior month. (52.1)

Source: FactSet. Past performance is not a reliable indicator of future results.

Sector and country returns

Exhibit 3: MSCI All Country World Index

Source: SEI, MSCI. As of August 31, 2026. Past performance is not a reliable indicator of future results.

Glossary and index definitions

For financial term and index definitions, please see: https://www.seic.com/ent/imu-communications-financial-glossary

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