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February 2019 Model Performance Report

07 March 2019
  • US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance returning 3.15% during the month while the Deep Value model lagged. The performance of our models over the US Small Cap universe was weak with the Earnings Momentum returning only 1.39%.
  • Developed Europe: The models over the Developed Europe universe struggled during the month. The poor performance of the models was driven by the long portfolios.
  • Developed Pacific: Our models struggled over the Developed Pacific universe during the month, with Earnings Momentum returning only 0.89%. The Deep Value model's one year cumulative performance is currently 14.08%.
  • Emerging Markets: Within the Emerging Markets universe our Earnings Momentum model had the strongest one month decile return spread performance, returning 0.92%. The Price Momentum model's one year cumulative performance has improved to 20.39%.
  • Sector Rotation: The US Large Cap Sector Rotation model performed well returning 2.30%.The Industrials sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model was flat for the month, returning 0.00%. The Tech sector had a favorable ranking and the Telecom 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 Telecom sector had a unfavorable ranking.
  • Specialty Models: Within our specialty model library the REIT and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 2.71% and 2.49%, respectively, while the Oil and Gas and the Technology models struggled.

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