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Monthly model performance report – January 2018

09 February 2018

US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance, returning 5.86%. Over the US Small Cap universe our Historical Growth model had the strongest one month decile return spread performance, returning 3.57%, while the Value Momentum model lagged.

Developed Europe: Our Price Momentum model was the top performer on a one month decile return spread basis, returning 4.40%, while the Relative Value model trailed.

Developed Pacific: The Earnings Momentum and Deep Value models had the strongest one month decile return spread performance, returning 1.96% and 1.13%, respectively. The Price Momentum model's one year cumulative performance is currently 9.98%.

Emerging Markets: Our Deep Value model had the strongest one month decile return spread performance, returning 3.87%. The Tobin q factor within the Deep Value model, had a one month decile return spread of 3.10% and was the largest contributor to the model's performance in January.

Sector Rotation: The US Large Cap Sector Rotation model returned 2.10%.The Cyclicals sector had a favorable ranking and the Utilities sector had an unfavorable ranking.The US Small Cap Sector Rotation model struggled returning -2.40%. The Non-Cyclicals sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled returning 0.10%. The Basic Materials sector had a favorable ranking and the Healthcare sector had a unfavorable ranking.

Specialty Models: Within our specialty model library the Retail and the Oil and Gas models had the strongest one month quintile return spread performance returning 2.18% and 1.32%, respectively, while the Bank and Thrift 2 and the Insurance models struggled. The Retail model was the most improved model during the month on a one month decile spread basis improving by 4.48% over its performance in December.


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