Monthly Performance Recap

US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance returning 3.92%. The performance of the Historical Growth 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 6.13%, while the Earnings Momentum model lagged.

Developed Europe: Our Price Momentum model was the top performer on a one month decile return spread basis, returning 1.73%, while the Earnings Momentum model trailed. The performance of the Price Momentum model was driven by the performance of decile 10.

Developed Pacific: The Relative Value and Deep Value models had the strongest one month decile return spread performance, returning 1.97% and 1.66%, while the Earnings Momentum model lagged.

Emerging Markets: Within the Emerging Markets universe our models struggled. The Price Momentum model was the only model with positive performance returning 1.66%. The performance of the model was driven by the short portfolio.

Sector Rotation: The US Large Cap Sector Rotation model returned 0.30%. The positive returns of the model were driven by the Materials and Consumer Discretionary sectors that were ranked as favorable and had positive returns. The US Small Cap Sector Rotation model struggled during the month returning -1.60%. The Developed Europe Sector Rotation model performed well returning 1.40%. The performance was driven by the Financials sector which was ranked favorable in our model and performed well during the month.

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.