Monthly Model Performance Report

Monthly Model Performance Report
  • US: Within the US Large Cap universe the Historical Growth model had the strongest one-month decile return spread performance returning 1.61% during the month. The performance of our models over the US Small Cap universe was weak, with the Earnings Momentum returning only 0.84%.
  • Developed Europe: Our Earnings Momentum model was the top performer on a one-month decile return spread basis, returning 3.60%, while the Relative Value model trailed. The performance of the Earnings Momentum model was driven by the performance of decile 1.
  • Developed Pacific: The Deep Value and Relative Value models had the strongest one-month decile return spread performance, returning 3.14% and 2.00%. The Deep Value model's one-year cumulative performance improved to 34.77% and is the top performing model across all countries in our library.
  • Emerging Markets: The Value Momentum model had the best one-month decile return spread performance, returning only 0.99%. The performance of the model was driven by the short portfolio.
  • Sector Rotation: The US Large Cap Sector Rotation model returned 0.20% during the month. The positive returns from the technology,utilities and materials sectors that were ranked as unfavorable were offset by the positive returns of the cyclical and financial sectors that were ranked as favorable in our model. The US Small Cap Sector Rotation model performed well during the month returning 1.30%. The Materials sectors was ranked favorable in our model and performed well during the month.
  • Specialty Models: The Oil and Gas and the Insurance models had the strongest one-month quintile return spread performance, returning 3.52% and 2.70%, respectively, while the Technology and the Bank and Thrift 2 models struggled. The Retail model's one year cumulative performance has shown a steady monthly increase since bottoming in July.
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