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EQUITIES COMMENTARY
Jan 08, 2018
Monthly model performance report – December 2017
US: Within the US Large Cap universe the Relative Value model had the strongest one month decile return spread performance, returning 2.04%. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 1.59%, while the Earnings Momentum model lagged.
Developed Europe: Our Earnings Momentum model was the top performer on a one month decile return spread basis, returning 2.96%, while the Price Momentum model trailed.
Developed Pacific: The Earnings Momentum and Value Momentum models had the strongest one month decile return spread performance, returning 1.01% and 0.68%, respectively. The Price Momentum model's one year cumulative performance is currently 13.36%.
Emerging Markets: Our Price Momentum model had the strongest one month decile return spread performance, returning 2.37%. The performance of the model was driven by the short portfolio.
Sector Rotation: The US Large Cap Sector Rotation model returned -3.80%. The Industrials sector had a favorable ranking and the Financials sector had an unfavorable ranking.The US Small Cap Sector Rotation model performed well returning 0.30%. The Non-Cyclicals sector had a favorable ranking and the Healthcare sector had an unfavorable ranking.The Developed Europe Sector Rotation model struggled during the month. The Industrials sector had a favorable ranking and the Healthcare sector had an unfavorable ranking.
Specialty Models: Within our specialty model library the Technology and the Semiconductor models had the strongest one month quintile return spread performance returning 3.52% and 1.59%, respectively, while the Retail and the Oil and Gas models struggled. The Semiconductor model was the most improved model during the month on a one month decile spread basis improving by 2.68% over its performance in November.
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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