April 2019 Model Performance Report
- US: Model performance was strong across the board for the US Large Cap universe, with the GARP model setting the pace with a 4.72% spread return during the month, while Price Momentum suffered a negative return. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 5.75%, while the Price Momentum model lagged.
- Developed Europe: Within the Developed Europe universe our Relative Value model was the top performer on a one month decile return spread basis, returning 2.72%, while the Price Momentum model trailed.
- Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 0.51%, while the Price Momentum model lagged. The Deep Value model's one year cumulative performance is currently 12.87%.
- Emerging Markets: Within the Emerging Markets universe our Value Momentum model had the strongest one month decile return spread performance, returning 1.10%. The Price Momentum model's one year cumulative performance has improved to 17.06%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 0.90%. The Industrials sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled returning -2.90%. The Non-Cyclicals sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The Developed Europe Sector Rotation model performed well returning 2.90%. The Tech sector had a favorable ranking and the Energy sector had a unfavorable ranking.
- Specialty Models: Within our specialty model library the Semiconductor and the Insurance models had the strongest one month quintile return spread performance returning 2.60% and 2.43%, respectively, while the REIT 2 and the Retail models struggled. The Oil and Gas model's one year cumulative performance has improved to 25.12% while the Technology model's performance decreased to -14.83%.
IHS Markit provides industry-leading data, software and technology platforms and managed services to tackle some of the most difficult challenges in financial markets. We help our customers better understand complicated markets, reduce risk, operate more efficiently and comply with financial regulation.
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