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March 2019 Model Performance Report

08 April 2019
  • US: Within the US Large Cap universe the Price Momentum model had the strongest one month decile return spread performance returning 0.82% during the month while the rest of the models lagged, especially Relative Value. Over the US Small Cap universe our Price Momentum model had the strongest one month decile return spread performance, returning 2.46%, while the Relative Value model lagged.
  • Developed Europe: Within the Developed Europe universe our Price Momentum model was the top performer on a one month decile return spread basis, returning 5.05%, while the Deep Value model trailed.
  • Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 3.72%, while the Value Momentum model lagged. The Deep Value model's one year cumulative performance is currently 17.39%.
  • Emerging Markets: Within the Emerging Markets universe our models struggled. The Price Momentum model's one year cumulative performance has improved to 21.26%.
  • Sector Rotation: The US Large Cap Sector Rotation model was flat for the month, returning 0.00%. The Industrials sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model performed well, returning 1.30%. The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The Developed Europe Sector Rotation model performed well returning 1.30%. The Tech sector had a favorable ranking and the Healthcare sector had a unfavorable ranking.
  • Specialty Models: Within our specialty model library the Retail and the Oil and Gas models had the strongest one month quintile return spread performance returning 4.38% and 3.41%, respectively, while the REIT 2 and the Technology models struggled.

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