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March 2021 Model Performance Report

06 April 2021

Research Signals - March 2021

  • US: Within the US Large Cap universe the Deep Value model had the strongest one month decile return spread performance, returning 13.56%, while the Price Momentum model lagged. Over the US Small Cap universe, our Deep Value model had the strongest one month decile return spread performance, returning 10.89%, while the Price Momentum model lagged.
  • Developed Europe: Over the Developed Europe universe, our Deep Value model returned 6.35% on a one month decile return spread basis, while Price Momentum lagged.
  • Developed Pacific: Over the Developed Pacific universe, the Value Momentum model had the strongest one month decile return spread performance, returning 9.26%, while the Price Momentum model lagged. The Relative Value model's one year cumulative performance is currently 7.91%.
  • Emerging Markets: Within the Emerging Markets universe, our Value Momentum model returned 2.79% on one month quintile return spread basis, while Price Momentum lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 7.56%.
  • Sector Rotation: The US Large Cap Sector Rotation model returned -2.50%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -0.60%. The Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Financials sector had a favorable ranking and the Telecom sector had an unfavorable ranking.
  • Specialty Models: Within our specialty model library the Technology model had the strongest one month quintile return spread performance returning 14.35%, while the Bank and Thrift 2 and the Semiconductor models struggled. The Insurance model's one year cumulative performance is the highest at 21.25% while the Retail model's performance is the lowest at -28.89%.

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