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January 2019 Model Performance Report

06 February 2019
  • US: Within the US Large Cap universe the Price Momentum model had the strongest one month decile return spread performance returning 0.51% during the month while the Deep Value model lagged. The performance of our models over the US Small Cap universe was weak with the QSG Small Cap returning only -0.06%.
  • Developed Europe: Within the Developed Europe universe our Deep Value model was the top performer on a one month decile return spread basis, returning 2.62%, while the Earnings Momentum model trailed.
  • Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 5.24%, while the Price Momentum model lagged. The Deep Value model's one year cumulative performance is currently 15.53%.
  • Emerging Markets: Within the Emerging Markets universe our Relative Value model had the strongest one month decile return spread performance, returning 5.91%. The Price Momentum model's one year cumulative performance has improved to 24.90%.
  • Sector Rotation: The US Large Cap Sector Rotation model performed well returning 2.60%. The Industrials sector had a favorable ranking and the Financials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled returning -1.80%. The Non-Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Healthcare sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking.
  • Specialty Models: Within our specialty model library the Insurance and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 7.81% and 6.55%, respectively, while the REIT and the Technology models struggled.

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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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