December 2018 Model Performance Report
- 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.
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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