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Monthly model performance report – May 2018

08 June 2018

US: Within the US Large Cap universe, our models struggled. Over the US Small Cap universe our Price Momentum model had the strongest one month decile return spread performance, returning 2.26%, while the Value Momentum 2 model lagged.

Developed Europe: Our Price Momentum model was the top performer on a one month decile return spread basis, returning 3.91%, while the Deep Value model trailed.

Developed Pacific: The Price Momentum model had the strongest one month decile return spread performance, returning 1.89%. The Price Momentum model's one year cumulative performance is currently 10.75%.

Emerging Markets: Our Relative Value model had the strongest one month decile return spread performance, returning 1.11%. The Earnings Momentum model's one year cumulative performance has improved to 13.29%.

Sector Rotation: The US Large Cap Sector Rotation model returned 2.70%.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 1.90%. The Tech sector had a favorable ranking and the Industrials sector had an unfavorable ranking.The Developed Europe Sector Rotation model performed well returning 5.40%. The Energy sector had a favorable ranking and the Telecom sector had a unfavorable ranking.

Specialty Models: Within our specialty model library the Retail and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 2.08% and 0.75%, respectively, while the Semiconductor and the Technology models struggled.

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