Did you know distressed loan trades take on average 66 days to settle? Mike Kerrigan of Hunton Andrews Kurth explai… https://t.co/LPCD325kgt
January 2019 Model Performance Report
- 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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RT @TabbFORUM: The labor-intensive, manual processes for managing inventory create risk affecting all distressed loan market participants.…