June 2019 Model Performance Report

• US: Within the US Large Cap universe the Value Momentum model had the strongest one month decile return spread performance, returning 3.77%, while the Price Momentum model lagged. Over the US Small Cap universe our Relative Value model had the strongest one month decile return spread performance, returning 3.99%, while the Price Momentum model also lagged. The performance of the Relative Value model was driven by the performance of the short portfolio.
• Developed Europe: Within the Developed Europe universe our Earnings Momentum model was the top performer on a one month decile return spread basis, returning 3.23%, 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 6.84%. The Deep Value model's one year cumulative performance is currently 17.62%.
• Emerging Markets: Within the Emerging Markets universe our Value Momentum model had the strongest one month decile return spread performance, returning 2.21%, while the Price Momemntum model lagged. The Price Momentum model's one year cumulative performance has improved to 20.14%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 0.50%. The Healthcare sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled returning -2.70%. The Industrials sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month as well. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Bank and Thrift 2 and the Retail models had the strongest one month decile return spread performance returning 2.68% and 1.84%, respectively, while the Insurance and the REIT 2 models struggled. The Oil and Gas model's one year cumulative performance has improved to 23.88% while the Technology model's performance decreased to -11.33%.

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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.