February 2019 Model Performance Report

• US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance returning 3.15% during the month while the Deep Value model lagged. The performance of our models over the US Small Cap universe was weak with the Earnings Momentum returning only 1.39%.
• Developed Europe: The models over the Developed Europe universe struggled during the month. The poor performance of the models was driven by the long portfolios.
• Developed Pacific: Our models struggled over the Developed Pacific universe during the month, with Earnings Momentum returning only 0.89%. The Deep Value model's one year cumulative performance is currently 14.08%.
• Emerging Markets: Within the Emerging Markets universe our Earnings Momentum model had the strongest one month decile return spread performance, returning 0.92%. The Price Momentum model's one year cumulative performance has improved to 20.39%.
• Sector Rotation: The US Large Cap Sector Rotation model performed well returning 2.30%.The Industrials sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model was flat for the month, returning 0.00%. The Tech sector had a favorable ranking and the Telecom sector had an unfavorable ranking.The Developed Europe Sector Rotation model performed well returning 2.90%. The Tech sector had a favorable ranking and the Telecom sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the REIT and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 2.71% and 2.49%, respectively, while the Oil and Gas and the Technology models struggled.

Download full article

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.