June 2021 Model Performance Report
Research Signals - June 2021
- US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance, returning 0.25%, while the Earnings Momentum model lagged. Over the US Small Cap universe, our Price Momentum model had the strongest one month decile return spread performance, returning 0.26%, while the Deep Value model lagged.
- Developed Europe: Over the Developed Europe universe, our Value Momentum model returned 0.92% on a one month decile return spread basis, while Relative Value lagged.
- Developed Pacific: Over the Developed Pacific universe, the Earnings Momentum model had the strongest one month decile return spread performance, returning 1.27%, while the Value Momentum model lagged. The Relative Value model's one year cumulative performance is currently 13.76%.
- Emerging Markets: Within the Emerging Markets universe, our Earnings Momentum model returned 0.55% on one month quintile return spread basis, while Value Momentum lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 11.99%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 4.60%. The Cyclicals sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 1.70%. The Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking.
- Specialty Models: Within our specialty model library the Bank and Thrift 2 model had the strongest one month decile return spread performance returning 1.83%, while the Technology model struggled. The Insurance model's one year cumulative performance is the highest at 9.03% while the Retail model's performance is the lowest at -17.88%.
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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