April 2019 Model Performance Report

• US: Model performance was strong across the board for the US Large Cap universe, with the GARP model setting the pace with a 4.72% spread return during the month, while Price Momentum suffered a negative return. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 5.75%, while the Price Momentum model lagged.
• Developed Europe: Within the Developed Europe universe our Relative Value model was the top performer on a one month decile return spread basis, returning 2.72%, while the Price Momentum model trailed.
• Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 0.51%, while the Price Momentum model lagged. The Deep Value model's one year cumulative performance is currently 12.87%.
• Emerging Markets: Within the Emerging Markets universe our Value Momentum model had the strongest one month decile return spread performance, returning 1.10%. The Price Momentum model's one year cumulative performance has improved to 17.06%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 0.90%. The Industrials sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled returning -2.90%. The Non-Cyclicals sector had a favorable ranking and the Basic Materials 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 Energy sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Semiconductor and the Insurance models had the strongest one month quintile return spread performance returning 2.60% and 2.43%, respectively, while the REIT 2 and the Retail models struggled. The Oil and Gas model's one year cumulative performance has improved to 25.12% while the Technology model's performance decreased to -14.83%.

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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.