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Monthly model performance report – April 2018

08 May 2018

US: Within the US Large Cap universe, our models struggled. Over the US Small Cap universe our Deep Value model had the strongest one month decile return spread performance, returning 0.50%, while the Value Momentum model lagged.

Developed Europe: The models over the Developed Europe universe struggled during the month.

Developed Pacific: The Value Momentum model had the strongest one month decile return spread performance, returning 6.45%. The Price Momentum model's one year cumulative performance is currently 9.38%.

Emerging Markets: Our Price Momentum model had the strongest one month decile return spread performance, returning 4.44%. The 52-Week High factor within the Price Momentum model, had a one month decile return spread of 2.75% and was the largest contributor to the model's performance in April.

Sector Rotation: The US Large Cap Sector Rotation model returned -2.60%.The Tech sector had a favorable ranking and the Financials sector had an unfavorable ranking.The US Small Cap Sector Rotation model struggled returning -3.00%. The Tech sector had a favorable ranking and the Industrials sector had an unfavorable ranking.The Developed Europe Sector Rotation model performed well returning 2.20%. The Energy sector had a favorable ranking and the Telecom sector had a unfavorable ranking.

Specialty Models: Within our specialty model library the Bank and Thrift 2 and the REIT models had the strongest one month decile return spread performance returning 1.01% and 0.36%, respectively, while the Oil and Gas and the Insurance models struggled.

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