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US: Within the US Large Cap universe the Price Momentum model
had the strongest one month decile return spread performance,
returning 3.13%, while the Historical Growth model lagged. Over the
US Small Cap universe, the Price Momentum model also had the
strongest one month decile return spread performance, returning
5.52%, while the Historical Growth model lagged.
Developed Europe: Over the Developed Europe universe, our Deep
Value model returned 8.08% on a one month decile return spread
basis, while the Price Momentum model trailed.
Developed Pacific: Our models struggled over the Developed
Pacific universe during the month. The Price Momentum model's one
year cumulative performance is currently 7.03%.
Emerging Markets: Within the Emerging Markets universe, our
Value Momentum model returned 3.95% on one month decile return
spread basis, while Earnings Momentum lagged. The Earnings Momentum
model's one year cumulative performance is still the highest for
the EM universe at 7.47%.
Sector Rotation: The US Large Cap Sector Rotation model
returned -1.80%. The Tech sector had a favorable ranking and the
Energy sector had an unfavorable ranking. The US Small Cap Sector
Rotation model returned 1.60%. The Non-Cyclicals sector had a
favorable ranking and the Energy sector had an unfavorable ranking.
The Developed Europe Sector Rotation model struggled during the
month. The Industrials sector had a favorable ranking and the
Energy sector had an unfavorable ranking.
Specialty Models: Within our specialty model library the
Insurance and the Bank and Thrift 2 models had the strongest one
month quintile return spread performance returning 5.19% and 2.57%,
respectively, while the REIT 2 and the Retail models struggled. The
Insurance model's one year cumulative performance is the highest at
21.95% while the Technology model's performance is the lowest at
-38.35%.
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