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Monthly model performance report – February 2018
US: Within the US Large Cap universe the GARP model had the strongest one month decile return spread performance, returning 2.84%. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 2.04%, while the Price Momentum model lagged.
Developed Europe: Our Relative Value model was the top performer on a one month decile return spread basis, returning 2.64%, while the Price Momentum model trailed.
Developed Pacific: Our models struggled over the Developed Pacific universe during the month. The Price Momentum and Earnings Momentum models continue to have the strongest 12-month decile spread returns in our library. The Price Momentum model's one year cumulative performance is currently 11.72%.
Emerging Markets: Our Earnings Momentum model had the strongest one month decile return spread performance, returning 2.15%. The Street Revision Confidence factor within the Earnings Momentum model had a one month decile return spread of 2.70% and was the largest contributor to the model's performance in February.
Sector Rotation: The US Large Cap Sector Rotation model returned -1.40%.The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model performed well returning 2.00%. The Cyclicals sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled returning 0.30%. The Basic Materials sector had a favorable ranking and the Healthcare sector had a unfavorable ranking.
Specialty Models: Within our specialty model library the Semiconductor and the Oil and Gas models had the strongest one month quintile return spread performance returning 5.48% and 5.36%, respectively, while the REIT and the Technology models struggled. The Insurance model was the most improved model during the month on a one month decile spread basis improving by 5.98% over its performance in January.
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RT @TabbFORUM: The labor-intensive, manual processes for managing inventory create risk affecting all distressed loan market participants.…