July 2019 Model Performance Report
- US: Within the US Large Cap universe the Price Momentum model had the strongest one month decile return spread performance, returning 1.69%, while the Relative Value model lagged. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 6.40%, while the Earnings 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 1.45%, while the Earnings Momentum model trailed.
- Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 2.10%, while the Value Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 15.84%.
- Emerging Markets: Within the Emerging Markets universe our Earnings Momentum model had the strongest one month decile return spread performance, returning 2.32%, while the Price Momemntum model lagged. The Price Momentum model's one year cumulative performance is the highest for the EM universe at 16.26%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 0.10%.The Healthcare sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking.The US Small Cap Sector Rotation model performed well, returning 2.60%. The Telecom sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking.The Developed Europe Sector Rotation model returned 0.90%. The Tech sector had a favorable ranking and the Energy sector had a unfavorable ranking.
- Specialty Models: Within our specialty model library the Bank and Thrift 2 and the Semiconductor models had the strongest one month decile return spread performance returning 3.57% and 1.25%, respectively, while the Technology and the Insurance models struggled. The Oil and Gas model's one year cumulative performance has improved to 21.29% while the Technology model's performance decreased to -14.49%.
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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