August 2019 Model Performance Report

• US: Within the US Large Cap universe the Price Momentum model had the strongest one month decile return spread performance, returning 5.66%, while the Relative Value model lagged. Over the US Small Cap universe our Price Momentum model had the strongest one month decile return spread performance, returning 2.85%, while the Deep Value model lagged. The performance of the Price Momentum model was driven by the performance of the short portfolio.
• Developed Europe: The models over the Developed Europe universe struggled during the month.
• Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 1.81%, while the Relative Value model lagged. The Price Momentum model's one year cumulative performance is currently 18.64%.
• Emerging Markets: Within the Emerging Markets universe our Price Momentum model had the strongest one month decile return spread performance, returning 2.18%, while the Deep Value model lagged. The Price Momentum model's one year cumulative performance is the highest for the EM universe at 16.21%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 1.00%. The Cyclicals sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model performed well, returning 2.10%. The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Telecom sector had a favorable ranking and the Energy sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Oil and Gas and the Semiconductor models had the strongest one month quintile return spread performance returning 2.21% and 1.62%, respectively, while the Insurance and the Technology models struggled. The Oil and Gas model's one year cumulative performance has improved to 20.51% while the Technology model's performance decreased to -8.78%.

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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.