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May 2019 Model Performance Report

11 June 2019
  • US: Model performance was weak across the board for the US Large Cap universe, with the Price Momentum model earning positive returns at 1.98%. The Relative Value model performed the worst, while the rest of the models saw negative returns. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 2.40%, while the Deep 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 10.21%, while the Relative Value model trailed.
  • Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 5.90%, while the Value Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 16.25%.
  • Emerging Markets: Within the Emerging Markets universe our Price Momentum model had the strongest one month decile return spread performance, returning 5.10%. The Price Momentum model's one year cumulative performance has improved to 22.89%.
  • Sector Rotation: The US Large Cap Sector Rotation model returned -1.80%.The Healthcare sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking.The US Small Cap Sector Rotation model performed well, returning 3.80%. The Non-Cyclicals sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking.The Developed Europe Sector Rotation model struggled during the month.The Non-Cyclicals sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking.
  • Specialty Models: Within our specialty model library the REIT 2 and the Retail models had the strongest one month quintile return spread performance returning 1.01% and 0.82%, respectively, while the Insurance and the Technology models struggled. The Oil and Gas model's one year cumulative performance has improved to 23.40% while the Technology model's performance decreased to -12.03%.

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