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June 2019 Model Performance Report

10 July 2019
  • US: Within the US Large Cap universe the Value Momentum model had the strongest one month decile return spread performance, returning 3.77%, while the Price Momentum model lagged. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 3.99%, while the Price Momentum model also lagged. The performance of the Relative Value model was driven by the performance of the short portfolio.
  • Developed Europe: Within the Developed Europe universe our Earnings Momentum model was the top performer on a one month decile return spread basis, returning 3.23%, while the Price Momentum model trailed.
  • Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 6.84%. The Deep Value model's one year cumulative performance is currently 17.62%.
  • Emerging Markets: Within the Emerging Markets universe our Value Momentum model had the strongest one month decile return spread performance, returning 2.21%, while the Price Momemntum model lagged. The Price Momentum model's one year cumulative performance has improved to 20.14%.
  • Sector Rotation: The US Large Cap Sector Rotation model returned 0.50%. The Healthcare sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled returning -2.70%. The Industrials sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month as well. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking.
  • Specialty Models: Within our specialty model library the Bank and Thrift 2 and the Retail models had the strongest one month decile return spread performance returning 2.68% and 1.84%, respectively, while the Insurance and the REIT 2 models struggled. The Oil and Gas model's one year cumulative performance has improved to 23.88% while the Technology model's performance decreased to -11.33%.

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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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