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October 2018 Model Performance Report

07 November 2018
  • US: Within the US Large Cap universe the Value Momentum 2 model had the strongest one month decile return spread performance returning 2.28% during the month while the Historical Growth model lagged. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 6.04%, while the Price Momentum model lagged.
  • Developed Europe: Within the Developed Europe universe our Relative Value model was the top performer on a one month decile return spread basis, returning 1.20%, while the Price Momentum model trailed.
  • Developed Pacific: Over the Developed Pacific universe, the Deep Value and Relative Value models had the strongest one month decile return spread performance, returning 7.02% and 6.32%, while the Earnings Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 13.68%.
  • Emerging Markets: Within the Emerging Markets universe our Price Momentum model had the strongest one month decile return spread performance, returning 7.39%. The Price Momentum model's one year cumulative performance has improved to 26.90%.
  • Sector Rotation: The US Large Cap Sector Rotation model struggled returning -6.50%.The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking.The US Small Cap Sector Rotation model performed well returning 2.10%. The Utilities sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking.The Developed Europe Sector Rotation model struggled during the month returning -4.60%.The Energy sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking.
  • Specialty Models: Within our specialty model library the Oil and Gas and the Technology models had the strongest one month quintile return spread performance returning 7.48% and 5.78%, respectively, while the Retail and the REIT models struggled.

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