Monthly model performance report – March 2018
US: Within the US Large Cap universe, our models struggled with the top performing Earnings Momentum model one month decile return spread performance returning only 0.06%. Over the US Small Cap universe our Value Momentum 2 model had the strongest one month decile return spread performance, returning 1.47%, while the Earnings Momentum model lagged.
Developed Europe: Our Earnings Momentum model was the top performer on a one month decile return spread basis, returning 0.57%, while the Relative Value model trailed.
Developed Pacific: The Price Momentum model had the strongest one month decile return spread performance, returning 1.86%. The Price Momentum model's one year cumulative performance is currently 11.52%.
Emerging Markets: Our Earnings Momentum model had the strongest one month decile return spread performance, returning 1.57%. The Net # of Revisions for Fiscal Year 1 factor within the Earnings Momentum model, had a one month decile return spread of 1.71% and was the largest contributor to the model's performance in March.
Sector Rotation: The US Large Cap Sector Rotation model returned -0.80%.The Tech sector had a favorable ranking and the Financials sector had an unfavorable ranking. The US Small Cap Sector Rotation model performed well returning 0.50%. The Non-Cyclicals sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking.The Developed Europe Sector Rotation model struggled during the month. The Energy sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking.
Specialty Models: Within our specialty model library the Insurance and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 1.30% and 0.95%, respectively, while the REIT and the Technology models struggled.
- Securities Finance Q2 Review
- Excess capital in 2019 stress tests allow banks to hit dividend payout targets
- How to avoid a data management headache post M&A
- IHS Markit Letter to Hong Kong Authorities on UTIs and Unmasking
- Recap of the Inside ETFs Summit: Index Construction and Evolving Best Practices
- Will index rule changes affect how European credit trades vs North America?
- IHS Markit Responds to ECB Market Consultation on EDDI
- NIRI Annual Conference 2019 - Survey Findings
Global lending revenues for Q2 2019 totaled $2.6bn, 10% below the average Q2 revenue of the last three years. Howev… https://t.co/Sedl49ACwG
Alternative data alone is not enough. Investment managers are looking for easily digestible, packaged data. Greenwi… https://t.co/Jr2fSyNiyI