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.
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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.