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Monthly model performance report – August 2018

06 September 2018

US: Within the US Large Cap universe the Price Momentum model had the strongest one month decile return spread performance returning 4.41% during the month while the Deep Value model lagged. Over the US Small Cap universe our Price Momentum model also outperformed, returning 3.24%, while the Deep Value model lagged. For both universes, the performance of the Price Momentum model was driven by the long portfolio.

Developed Europe: Within the Developed Europe universe our Price Momentum model was the top performer on a one month decile return spread basis, returning 3.42%, while the Deep Value model trailed.

Developed Pacific: Our models struggled over the Developed Pacific universe during the month. The Price Momentum model's one year cumulative performance is currently 9.82%.

Emerging Markets: Within the Emerging Markets universe our Price Momentum model had the strongest one month decile return spread performance, returning 2.23%. The Price Momentum model's one year cumulative performance has improved to 16.90%.

Sector Rotation: The US Large Cap Sector Rotation model returned 0.90%, while the US Small Cap Sector Rotation model struggled returning -5.10%. And our Developed Europe Sector Rotation model performed well, returning 2.60%.

Specialty Models: Within our specialty model library the Oil and Gas and the Semiconductor models had the strongest one month quintile return spread performance returning 2.99% and 2.39%, respectively, while the Bank and Thrift 2 and the Technology models struggled.

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