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EQUITIES COMMENTARY
Aug 07, 2018
Monthly model performance report – July 2018
US: Within the US Large Cap universe, the Relative Value model had the strongest one month decile return spread performance, returning 3.72% during the month, while the Price Momentum model lagged. Over the US Small Cap universe, our GARP model had the strongest one month decile return spread performance, returning 3.87%, while the Price Momentum model lagged.
Developed Europe: Within the Developed Europe universe, our Price Momentum model was the top performer on a one month decile return spread basis, returning 1.86%, while the Relative Value model trailed.
Developed Pacific: The Deep Value and Value Momentum models had the strongest one month decile return spread performance, returning 7.40% and 6.40%, respectively, while the Earnings Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 11.36%.
Emerging Markets: Within the Emerging Markets universe, our Value Momentum model had the strongest one month decile return spread performance, returning 2.36%. The Price Momentum model's one year cumulative performance has improved to 14.35%.
Sector Rotation: The US Large Cap Sector Rotation model returned -0.20%. The Tech sector had a favorable ranking and the Financials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled, returning -0.60%. The Utilities sector had a favorable ranking and the Healthcare sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Energy sector had a favorable ranking and the Telecom sector had an unfavorable ranking.
Specialty Models: Within our specialty model library, the Oil and Gas and Semiconductor models had the strongest one month quintile return spread performance, returning 3.15% and 2.70%, respectively, while the REIT and Retail models struggled.
S&P Global provides industry-leading data, software and technology platforms and managed services to tackle some of the most difficult challenges in financial markets. We help our customers better understand complicated markets, reduce risk, operate more efficiently and comply with financial regulation.
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.
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