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US: Within the US Large Cap universe most models
underperformed, with the Value Momentum 2 model being flat for the
month, returning 0.04%, while the Earnings Momentum model lagging
the most. Over the US Small Cap universe our Price Momentum model
had the strongest one month decile return spread performance
compared to other models that all underperformed, returning -0.33%.
The Earnings Momentum model lagged the most.
Developed Europe: The models over the Developed Europe universe
struggled during the month as well. Our Price Momentum model lagged
the least on a one month decile return spread basis, returning
-0.30%, while the Relative Value model trailed the most.
Developed Pacific: Over the Developed Pacific universe, the
Price Momentum model had the strongest one month decile return
spread performance, returning 3.23%, while the Earnings Momentum
model lagged. The Price Momentum model's one year cumulative
performance is currently 7.69%.
Emerging Markets: Within the Emerging Markets universe our
models underperformed with the Relative Value model losing the
least, returning -0.28% on one month decile return spread basis,
while the Value Momentum model lagged the most. The Earnings
Momentum model's one year cumulative performance is the highest for
the EM universe at 12.11%.
Sector Rotation: The US Large Cap Sector Rotation model
returned -0.70%. The Non-Cyclicals sector had a favorable ranking
and the Energy sector had an unfavorable ranking. The US Small Cap
Sector Rotation model struggled returned -0.20%. The Cyclicals
sector had a favorable ranking and the Energy sector had an
unfavorable ranking. The Developed Europe Sector Rotation model
struggled during the month. The Basic Materials sector had a
favorable ranking and the Energy sector had an unfavorable
ranking.
Specialty Models: Within our specialty model library the Bank
and Thrift 2 model had the strongest one month quintile return
spread performance returning 3.01%, while the REIT 2 and the Retail
models lagged. The Insurance model's one year cumulative
performance is the highest at 31.65% while the Technology model's
performance is the lowest at -19.81%.
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.
