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December 2018 Model Performance Report

08 January 2019
  • US: Within the US Large Cap universe the Value Momentum 2 model had the strongest one month decile return spread performance returning 1.41% during the month while the Earnings Momentum model lagged. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 6.23%, while the Price Momentum model lagged.
  • Developed Europe: Within the Developed Europe universe our Price Momentum model was the top performer on a one month decile return spread basis, returning 2.57%, while the Deep Value model trailed.
  • Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 5.27%, while the Earnings Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 16.10%.
  • Emerging Markets: Within the Emerging Markets universe our Price Momentum model had the strongest one month decile return spread performance, returning 3.09%. The Price Momentum model's one year cumulative performance has improved to 25.04%.
  • Sector Rotation: The US Large Cap Sector Rotation model struggled returning -0.30%. The Tech sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The US Small Cap Sector Rotation model performed well returning 5.20%. The Non-Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Healthcare sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking.
  • Specialty Models: Within our specialty model library the Retail and the Oil and Gas models had the strongest one month quintile return spread performance returning 8.33% and 4.37%, respectively, while the Technology and the Insurance models struggled.

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