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Monthly model performance report – June 2018

10 July 2018

US: Within the US Large Cap universe, our models struggled. Over the US Small Cap universe our Value Momentum 2 model had the strongest one month decile return spread performance, returning 2.38%, while the Price Momentum model lagged.

Developed Europe: The models over the Developed Europe universe struggled during the month. Valuation especially struggled, with the Relative Value and Deep Value models returning worse than -2.0%, with 3-month and 12-month cumulative returns also in negative territory.

Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 3.95%. The Price Momentum model's one year cumulative performance is currently 11.41%.

Emerging Markets: Within the Emerging Markets universe our Price Momentum model had the strongest one month decile return spread performance, returning 2.04%. The performance of the model was driven by the long portfolio. The Earnings Momentum model's one year cumulative performance has improved to 12.51%.

Sector Rotation: The US Large Cap Sector Rotation model returned -1.40%.The Tech sector had a favorable ranking and the Telecom sector had an unfavorable ranking.The US Small Cap Sector Rotation model performed well returning 1.80%. The Non-Cyclicals sector had a favorable ranking and the Industrials sector had an unfavorable ranking.The Developed Europe Sector Rotation model struggled during the month. The Basic Materials sector had a favorable ranking and the Financials sector had an unfavorable ranking.

Specialty Models: Within our specialty model library the REIT and the Oil and Gas models had the strongest one month quintile return spread performance returning 1.28% and 0.54%, respectively, while the Semiconductor and the Retail models struggled.

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