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EQUITIES COMMENTARY
May 08, 2018
Monthly model performance report – April 2018
US: Within the US Large Cap universe, our models struggled. Over the US Small Cap universe our Deep Value model had the strongest one month decile return spread performance, returning 0.50%, while the Value Momentum model lagged.
Developed Europe: The models over the Developed Europe universe struggled during the month.
Developed Pacific: The Value Momentum model had the strongest one month decile return spread performance, returning 6.45%. The Price Momentum model's one year cumulative performance is currently 9.38%.
Emerging Markets: Our Price Momentum model had the strongest one month decile return spread performance, returning 4.44%. The 52-Week High factor within the Price Momentum model, had a one month decile return spread of 2.75% and was the largest contributor to the model's performance in April.
Sector Rotation: The US Large Cap Sector Rotation model returned -2.60%.The Tech sector had a favorable ranking and the Financials sector had an unfavorable ranking.The US Small Cap Sector Rotation model struggled returning -3.00%. The Tech sector had a favorable ranking and the Industrials sector had an unfavorable ranking.The Developed Europe Sector Rotation model performed well returning 2.20%. The Energy sector had a favorable ranking and the Telecom sector had a unfavorable ranking.
Specialty Models: Within our specialty model library the Bank and Thrift 2 and the REIT models had the strongest one month decile return spread performance returning 1.01% and 0.36%, respectively, while the Oil and Gas and the Insurance 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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