Customer Logins
Obtain the data you need to make the most informed decisions by accessing our extensive portfolio of information, analytics, and expertise. Sign in to the product or service center of your choice.
Customer Logins
EQUITIES COMMENTARY
Jul 10, 2018
Monthly model performance report – June 2018
US: Within the US Large Cap universe, our models struggled. Over the US Small Cap universe our Value Momentum 2 model had the strongest one month decile return spread performance, returning 2.38%, while the Price Momentum model lagged.
Developed Europe: The models over the Developed Europe universe struggled during the month. Valuation especially struggled, with the Relative Value and Deep Value models returning worse than -2.0%, with 3-month and 12-month cumulative returns also in negative territory.
Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 3.95%. The Price Momentum model's one year cumulative performance is currently 11.41%.
Emerging Markets: Within the Emerging Markets universe our Price Momentum model had the strongest one month decile return spread performance, returning 2.04%. The performance of the model was driven by the long portfolio. The Earnings Momentum model's one year cumulative performance has improved to 12.51%.
Sector Rotation: The US Large Cap Sector Rotation model returned -1.40%.The Tech sector had a favorable ranking and the Telecom sector had an unfavorable ranking.The US Small Cap Sector Rotation model performed well returning 1.80%. The Non-Cyclicals sector had a favorable ranking and the Industrials sector had an unfavorable ranking.The Developed Europe Sector Rotation model struggled during the month. The Basic Materials sector had a favorable ranking and the Financials sector had an unfavorable ranking.
Specialty Models: Within our specialty model library the REIT and the Oil and Gas models had the strongest one month quintile return spread performance returning 1.28% and 0.54%, respectively, while the Semiconductor and the 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.
{"items" : [
{"name":"share","enabled":true,"desc":"<strong>Share</strong>","mobdesc":"Share","options":[ {"name":"facebook","url":"https://www.facebook.com/sharer.php?u=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2fmonthly-model-performance-report-june-2018.html","enabled":true},{"name":"twitter","url":"https://twitter.com/intent/tweet?url=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2fmonthly-model-performance-report-june-2018.html&text=Monthly+model+performance+report+%e2%80%93+June+2018+%7c+S%26P+Global+","enabled":true},{"name":"linkedin","url":"https://www.linkedin.com/sharing/share-offsite/?url=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2fmonthly-model-performance-report-june-2018.html","enabled":true},{"name":"email","url":"?subject=Monthly model performance report – June 2018 | S&P Global &body=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2fmonthly-model-performance-report-june-2018.html","enabled":true},{"name":"whatsapp","url":"https://api.whatsapp.com/send?text=Monthly+model+performance+report+%e2%80%93+June+2018+%7c+S%26P+Global+ http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2fmonthly-model-performance-report-june-2018.html","enabled":true}]}, {"name":"rtt","enabled":true,"mobdesc":"Top"}
]}