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March 2020 Model Performance Report
Research Signals - March 2020
- US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance, returning 19.96%, while the Price Momentum model lagged. Over the US Small Cap universe our Historical Growth model had the strongest one month decile return spread performance, returning 10.29%, while the Relative Value model lagged. The performance of the Historical Growth model was driven by the performance of the short portfolio.
- Developed Europe: Within the Developed Europe universe our Price Momentum model was the top performer on a one month decile return spread basis, returning 6.21%, while the Deep Value model trailed.
- Over the Developed Pacific universe, the Earnings Momentum model had the strongest one month decile return spread performance, returning 3.00%, while the Price Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 8.41%.
- Emerging Markets: performance, returning 2.08%, while the Deep Value model lagged. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 17.24%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 14.10%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking.The US Small Cap Sector Rotation model performed well, returning 2.50%. The Tech sector had a favorable ranking and the Healthcare sector had an unfavorable ranking.The Developed Europe Sector Rotation model returned 7.60%. The Healthcare sector had a favorable ranking and the Energy sector had a unfavorable ranking.
- Specialty Models: Within our specialty model library the Insurance and the Oil and Gas models had the strongest one month quintile return spread performance returning 2.37% and 1.91%, respectively, while the Retail and the Bank and Thrift 2 models struggled. The Oil and Gas model's one year cumulative performance is the highest at 14.61% while the REIT 2 model's performance is the lowest at -5.83%.
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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