May 2024 Model Performance Report

1. US: The models over the US Large Cap universe struggled during the month. Many models had a negative performance. Over the US Small Cap universe, the Relative Value model had the strongest one month decile return spread performance, returning 3.29%. On the 12-month basis, the Value Momentum 2 model performed best at 38.94% while the performance of the Earnings Momentum model continued to lag.
2. Developed Europe: Over the Developed Europe universe, the Relative Value model returned 2.62% on a one month decile return spread basis. On a 12-month basis, the Relative Value model performed the best, at 39.15% cumulative.
3. Developed Pacific: Over the Developed Pacific universe, all models performed well. The Deep Value model had the strongest one month decile return spread performance, returning 3.77%. The Deep Value model led the performance over the recent one year, delivering 31.96%.
4. Emerging Markets: Within the Emerging Markets universe, the Relative Value model returned 2.26% on one month quintile return spread basis. The Price Momentum model led over the one-year period, with returns at 20.48%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned 2.70%.The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model earned a return of 1.00%. The Non-Cyclicals sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 0.30%. The Basic Materials sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking.
6. Specialty Models: The Insurance model's one year cumulative performance was the highest at 29.52% while the Bank and Thrift 2 model's performance was the lowest at 7.01%. Within the specialty model library the Semiconductor and the Insurance models had the strongest one month quintile return spread performance returning 2.12% and 1.98%, respectively, while the REIT 2 and the Oil and Gas models saw weaker returns.

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