Monthly Performance Recap

• US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance, returning 4.96%. The performance of the model was driven by the performance of the short portfolio. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 3.84%, while the Price Momentum model lagged.
• Developed Europe: The models over the Developed Europe universe struggled with all our models having negative returns. The poor performance of the models were driven by the long portfolios. All models continue to have positive 12-month decile return spread returns.
  
• Developed Pacific: Our models over the Developed Pacific universe also struggled during the month with all models except for the Price Momentum model had negative returns. The Deep Value, Relative Value and Value Momentum models continue to have the strongest 12-month decile spread returns in our library.
  
• Emerging Markets: Our Earnings Momentum model had the strongest one month decile return spread performance, returning 1.45%. The performance of the model was driven by the short portfolio.
  
• Sector Rotation: The US Large Cap Sector Rotation model returned -1.10%. The US Small Cap Sector Rotation model struggled during the month, returning -4.20%. Industrials, Consumer Staples and Technology sectors were ranked unfavorable in our model and had positive returns. The Developed Europe Sector Rotation model also struggled, returning -5.20%. The Utilities and Telecom sectors were ranked unfavorable in the model but had positive returns.
  
• Specialty Models: The Oil and Gas and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 5.86% and 3.40%, respectively. The Technology model was the most improved model during the month on a one month decile spread basis improving by 3.35% over its performance in March.

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This article was published by S&P Global Market Intelligence and not by S&P Global Ratings, which is a separately managed division of S&P Global.