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US: Within the US Large Cap universe the Earnings Momentum
model had the strongest one month decile return spread performance,
returning 7.56%, while the Deep Value model lagged. Over the US
Small Cap universe our GARP model had the strongest one month
decile return spread performance, returning 6.58%, while the Deep
Value model lagged. The performance of the GARP model was driven by
the performance of the short portfolio.
Developed Europe: Within the Developed Europe universe our
Price Momentum model was the top performer on a one month decile
return spread basis, returning 6.24%, while the Deep Value model
trailed.
Developed Pacific: Over the Developed Pacific universe, the
Earnings Momentum model had the strongest one month decile return
spread performance, returning 9.52%, while the Value Momentum model
lagged. The Earnings Momentum model's one year cumulative
performance is currently 14.80%.
Emerging Markets: Within the Emerging Markets universe our
Earnings Momentum model had the strongest one month decile return
spread performance, returning 4.20%, while the Deep Value model
lagged. The Earnings Momentum model's one year cumulative
performance is the highest for the EM universe at 15.30%.
Sector Rotation: The US Large Cap Sector Rotation model
returned 3.10%.The Tech sector had a favorable ranking and the
Industrials sector had an unfavorable ranking. The US Small Cap
Sector Rotation model returned 0.10%. The Tech sector had a
favorable ranking and the Telecom sector had an unfavorable
ranking. The Developed Europe Sector Rotation model returned 3.60%.
The Healthcare sector had a favorable ranking and the Telecom
sector had a unfavorable ranking.
Specialty Models: Within our specialty model library the REIT 2
and the Retail models had the strongest one month quintile return
spread performance returning 4.43% and 3.51%, respectively, while
the Technology and the Oil and Gas models struggled. The Insurance
model's one year cumulative performance is the highest at 33.35%
while the Technology model's performance is the lowest at
-15.78%.
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.
