Customer Logins

Obtain the data you need to make the most informed decisions by accessing our extensive portfolio of information, analytics, and expertise. Sign in to the product or service center of your choice.

Customer Logins

Monthly model performance report – February 2018

07 March 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.



Download full article

Explore

RELATED INDUSTRIES & TOPICS

Follow Us

Filter Sort