June 2020 Model Performance Report
Research Signals - June 2020
- 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.
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