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US: Within the US Large Cap universe, all models performed
well. The Relative Value model had the strongest one month decile
return spread performance, returning 9.93%. Over the US Small Cap
universe, almost all of our models had positive performance. The
GARP model had the strongest one month decile return spread
performance, returning 10.99%.
Developed Europe: Over the Developed Europe universe, our Deep
Value model returned 4.61% on a one month decile return spread
basis, while Price Momentum lagged.
Developed Pacific: Over the Developed Pacific universe, the
Deep Value model had the strongest one month decile return spread
performance, returning 3.78%, while the Price Momentum model
lagged. The Value Momentum model's one year cumulative performance
is currently 29.81%.
Emerging Markets: Within the Emerging Markets universe, our
Value Momentum model returned 8.06% on one month quintile return
spread basis. The rest of the models within the universe had
positive returns as well. The Price Momentum model's one year
cumulative performance is still the highest for the EM universe at
25.12%.
Sector Rotation: The US Large Cap Sector Rotation model
returned 2.70%. The Energy sector had a favorable ranking and the
Cyclicals sector had an unfavorable ranking. The US Small Cap
Sector Rotation model with a return of 3.20%. The Energy sector had
a favorable ranking and the Telecom sector had an unfavorable
ranking. The Developed Europe Sector Rotation model struggled
during the month. The Basic Materials sector had a favorable
ranking and the Financials sector had an unfavorable ranking.
Specialty Models: Within our specialty model library the
Technology and the Oil and Gas models had the strongest one month
quintile return spread performance returning 8.22% and 6.72%,
respectively, while the Bank and Thrift 2 and the Insurance models
struggled. The Semiconductor model's one year cumulative
performance is the highest at 30.38% while the Bank and Thrift 2
model's performance is the lowest at 5.43%.
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.
This article was published by S&P Global Market Intelligence and not by S&P Global Ratings, which is a separately managed division of S&P Global.
