August 2024 Model Performance Report

1. US: Within the US Large Cap universe, most models performed well. The Price Momentum model had the strongest one-month decile return spread performance, returning 2.52%. Over the US Small Cap universe, the Relative Value model had the strongest one-month decile return spread performance, returning 6.60%. On the 12-month basis, the GARP model performed best at 31.10% while the performance of the Earnings Momentum model continued to lag.
2. Developed Europe: Over the Developed Europe universe, the Price Momentum model returned 1.65% on a one-month decile return spread basis. On a 12-month basis, the Relative Value model performed the best, at 24.80% cumulative.
3. Developed Pacific: The models struggled over the Developed Pacific universe during this month. The Price Momentum model had the strongest one-month decile return spread performance, returning 2.58%. The Price Momentum model led the performance over the recent one year as well, delivering 30.54%.
4. Emerging Markets: Within the Emerging Markets universe, the performance of the models was mixed. The Relative Value model was the top performing model returning 2.37%.The Price Momentum model led over the one-year period, with returns at 22.46%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned 2.10%. The Tech sector had a favorable ranking and the non-cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model earned a return of 3.10%. The non-cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 1.20%. The Telecom sector had a favorable ranking and the Energy sector had an unfavorable ranking.
6. Specialty Models: The Semiconductor model's one-year cumulative performance was the highest at 33.53% while the REIT 2 model's performance was the lowest at 8.89%. Within the specialty model library, the Insurance and the Semiconductor models had the strongest one month quintile return spread performance returning 5.73% and 4.95%, respectively, while the Bank and Thrift 2 and the Oil and Gas models saw weaker returns.

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