Monthly model performance report – March 2018
US: Within the US Large Cap universe, our models struggled with the top performing Earnings Momentum model one month decile return spread performance returning only 0.06%. Over the US Small Cap universe our Value Momentum 2 model had the strongest one month decile return spread performance, returning 1.47%, 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 0.57%, while the Relative Value model trailed.
Developed Pacific: The Price Momentum model had the strongest one month decile return spread performance, returning 1.86%. The Price Momentum model's one year cumulative performance is currently 11.52%.
Emerging Markets: Our Earnings Momentum model had the strongest one month decile return spread performance, returning 1.57%. The Net # of Revisions for Fiscal Year 1 factor within the Earnings Momentum model, had a one month decile return spread of 1.71% and was the largest contributor to the model's performance in March.
Sector Rotation: The US Large Cap Sector Rotation model returned -0.80%.The Tech sector had a favorable ranking and the Financials sector had an unfavorable ranking. The US Small Cap Sector Rotation model performed well returning 0.50%. The Non-Cyclicals 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 Energy sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking.
Specialty Models: Within our specialty model library the Insurance and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 1.30% and 0.95%, respectively, while the REIT and the Technology models struggled.
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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.