Monthly model performance report - June 2017
US: Within the US Large Cap universe the Earnings Momentum model had the strongest one month decile return spread performance, returning 0.95%. The performance of the model was driven by the performance of the long portfolio. Over the US Small Cap universe our Price Momentum model had the strongest one month decile return spread performance, returning 0.98%, while the QSG Small Cap model lagged.
Developed Europe: The Earnings Momentum model over the Developed Europe universe was the top performer on a one month decile return spread basis, returning 2.93%, while the Price Momentum model trailed. The performance of the Earnings Momentum model was driven by the performance of decile 1.
Developed Pacific: Over the Developed Pacific universe, the Value Momentum and Price Momentum models had the strongest one month decile return spread performance, returning 3.83% and 3.29%, respectively. The Value Momentum model's one year cumulative performance has improved to 44.89%.
Emerging Markets: The Earnings Momentum model over our Emerging Markets universe had the strongest one month decile return spread performance, returning 0.80%. The performance of the model was driven by the long portfolio.
Sector Rotation: The US Large Cap Sector Rotation model returned -0.60%. The negative returns of the model were driven by the Technology sector that was ranked as favorable and had negative returns. The US Small Cap Sector Rotation model struggled, returning -0.20%. The Developed Europe Sector Rotation model performed well, returning 3.80%. The model's performance was driven by the short Energy and Telecom positions.
Specialty Models: Within our specialty model library the Oil and Gas and the Retail models had the strongest one month quintile return spread performance returning 3.71% and 2.91%, respectively, while the Insurance and the REIT models struggled.
- Most shorted ahead of earnings: Carbo Ceramics, Euronav and Monotaro
- Taiwan’s strong export orders point to further upturn in trade
- Week Ahead Economic Preview
- Which UK dividends are most stretched?
- IHS Markit Weekly Mortgage Snapshot – January 19, 2018
- Poor December means UK retail sales growth halves in fourth quarter
- China economic growth at a resilient 6.9% in 2017
- Asia auto sector booms but suffers tighter profit margins