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US: Within the US Large Cap universe the Value Momentum model
had the strongest one month decile return spread performance,
returning 1.34%, while the GARP model lagged. Over the US Small Cap
universe our Price Momentum model had the strongest one month
decile return spread performance, returning 3.07%, while the Deep
Value model lagged. The performance of the Price Momentum model was
driven by the performance of the long portfolio.
Developed Europe: Within the Developed Europe universe our Deep
Value model was the top performer on a one month decile return
spread basis, returning 4.21%, 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 4.35%, while the Relative Value model
lagged. The Price Momentum model's one year cumulative performance
is currently 7.71%.
Emerging Markets: Within the Emerging Markets universe our Deep
Value model had the strongest one month decile return spread
performance, returning 1.32%, while the Deep Value model lagged.
The Earnings Momentum model's one year cumulative performance is
the highest for the EM universe at 13.42%.
Sector Rotation: The US Large Cap Sector Rotation model
returned 2.60%. The Tech sector had a favorable ranking and the
Energy sector had an unfavorable ranking. The US Small Cap Sector
Rotation model struggled returning -0.90%. The Non-Cyclicals sector
had a favorable ranking and the Telecom sector had an unfavorable
ranking. The Developed Europe Sector Rotation model returned 0.20%.
The Healthcare sector had a favorable ranking and the Cyclicals
sector had a unfavorable ranking.
Specialty Models: Within our specialty model library the Bank
and Thrift 2 and the Insurance models had the strongest one month
decile return spread performance returning 2.66% and 0.89%,
respectively, while the Semiconductor and the Oil and Gas models
struggled. The Insurance model's one year cumulative performance is
the highest at 28.62% while the Technology model's performance is
the lowest at -14.86%.
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.
