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Monthly model performance report – July 2018

07 August 2018

US: Within the US Large Cap universe, the Relative Value model had the strongest one month decile return spread performance, returning 3.72% during the month, while the Price Momentum model lagged. Over the US Small Cap universe, our GARP model had the strongest one month decile return spread performance, returning 3.87%, while the Price Momentum 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 1.86%, while the Relative Value model trailed.

Developed Pacific: The Deep Value and Value Momentum models had the strongest one month decile return spread performance, returning 7.40% and 6.40%, respectively, while the Earnings Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 11.36%.

Emerging Markets: Within the Emerging Markets universe, our Value Momentum model had the strongest one month decile return spread performance, returning 2.36%. The Price Momentum model's one year cumulative performance has improved to 14.35%.

Sector Rotation: The US Large Cap Sector Rotation model returned -0.20%. The Tech sector had a favorable ranking and the Financials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled, returning -0.60%. The Utilities sector had a favorable ranking and the Healthcare sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Energy sector had a favorable ranking and the Telecom sector had an unfavorable ranking.

Specialty Models: Within our specialty model library, the Oil and Gas and Semiconductor models had the strongest one month quintile return spread performance, returning 3.15% and 2.70%, respectively, while the REIT and Retail models struggled.

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