July 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 1.69%, while the Relative Value model lagged. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 6.40%, while the Earnings Momentum model lagged.
• Developed Europe: Within the Developed Europe universe our Price Momentum model was the top performer on a one month decile return spread basis, returning 1.45%, while the Earnings Momentum model trailed.
• Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 2.10%, while the Value Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 15.84%.
• Emerging Markets: Within the Emerging Markets universe our Earnings Momentum model had the strongest one month decile return spread performance, returning 2.32%, while the Price Momemntum model lagged. The Price Momentum model's one year cumulative performance is the highest for the EM universe at 16.26%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 0.10%.The Healthcare sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking.The US Small Cap Sector Rotation model performed well, returning 2.60%. The Telecom sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking.The Developed Europe Sector Rotation model returned 0.90%. The Tech sector had a favorable ranking and the Energy sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Bank and Thrift 2 and the Semiconductor models had the strongest one month decile return spread performance returning 3.57% and 1.25%, respectively, while the Technology and the Insurance models struggled. The Oil and Gas model's one year cumulative performance has improved to 21.29% while the Technology model's performance decreased to -14.49%.

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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.