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 – March 2018

05 April 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.

Download full article

Explore

RELATED INDUSTRIES & TOPICS

Follow Us

Filter Sort