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Confidential | Copyright © 2019 IHS Markit Ltd
Monthly Model Performance Report March 2019
Research Signals Model Performance Report
Table of Contents
Monthly Recap 2
US Large Cap Models 3
US Small Cap Models 4
Canada Models 5
Japan Models 6
Australia - New Zealand Models 7
Developed Europe Models 8
Developed Pacific Models 9
Developed World Ex-North America (EAFE) Models 10
Emerging Markets Models 11
Frontier Markets Models 12
Specialty Models 13
Appendix 14
1
Research Signals Model Performance Report
US:
Developed Europe:
Developed Pacific:
Emerging Markets:
Specialty Models:
#REF!
0.710
-0.040 2.350 6.450 -0.100
QSG Japan 2000 -4.620 2.020 -0.360 -5.130
-2.090
QSG Developed Pacific 0.100 2.930 3.720 0.000 -2.300
-4.880
QSG Emerging Markets -1.780 -2.030 -0.270 -2.930
-1.310 -2.220
QSG Canada 500 -1.710 1.370
Markit Developed World ex North America -4.390 -0.570 -0.030
2.800 -0.410
Monthly Performance Recap
IHS Markit Model Matrix
Deep Value Earnings Momentum Price Momentum Relative Value Value Momentum
Within the Emerging Markets universe our models struggled. The Price Momentum model's one year cumulative performance
has improved to 21.26%.
Within our specialty model library the Retail and the Oil and Gas models had the strongest one month quintile return spread
performance returning 4.38% and 3.41%, respectively, while the REIT 2 and the Technology models struggled.
Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread
performance, returning 3.72%, while the Value Momentum model lagged. The Deep Value model's one year cumulative
performance is currently 17.39%.
Within the Developed Europe universe our Price Momentum model was the top performer on a one month decile return
spread basis, returning 5.05%, while the Deep Value model trailed.
Within the US Large Cap universe the Price Momentum model had the strongest one month decile return spread performance
returning 0.82% during the month while the rest of the models lagged, especially Relative Value. Over the US Small Cap
universe our Price Momentum model had the strongest one month decile return spread performance, returning 2.46%, while
the Relative Value model lagged.
Sector Rotation:
The US Large Cap Sector Rotation model was flat for the month, returning 0.00%. The Industrials sector had a favorable
ranking and the Non-Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model performed well,
returning 1.30%. The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The
Developed Europe Sector Rotation model performed well returning 1.30%. The Tech sector had a favorable ranking and the
Healthcare sector had a unfavorable ranking.
-3.780 -2.220
Markit US Small Cap -0.910 -0.970 2.460 -4.680
-5.230
#N/A
Markit US Large Cap -1.390 -1.940 0.820
-0.810
QSG Frontier Markets 2.220 1.700 2.130 -1.340 0.960
QSG Europe 1000 -6.230 -1.230 5.050
4.420
2
Research Signals Model Performance Report
US Large Cap(1)
1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo
Deep Value -1.39 -8.47 -11.61 -0.87 -1.16 -1.45 0.52 7.31 10.15 -0.12 -0.06 -0.03
Earnings Momentum -1.94 -3.45 -15.40 -0.73 -0.80 -8.52 1.21 2.66 6.88 -0.12 -0.03 -0.04
GARP -3.15 -5.47 -13.97 -1.42 -0.36 -6.91 1.73 5.11 7.05 -0.15 -0.03 -0.04
Historical Growth -1.50 0.79 -6.01 0.06 2.54 0.82 1.57 1.75 6.83 -0.07 0.04 -0.02
Price Momentum 0.82 2.29 -4.55 0.52 0.13 -2.80 -0.30 -2.16 1.75 0.07 0.02 -0.03
Relative Value -3.78 -8.68 -14.34 -2.64 -3.07 -6.84 1.13 5.61 7.50 -0.20 -0.09 -0.05
Value Momentum 2 -1.65 -5.45 -10.68 -0.82 -2.47 -4.59 0.83 2.98 6.09 -0.10 -0.07 -0.03
Value Momentum -2.22 -5.08 -14.72 -1.50 -3.30 -10.97 0.72 1.78 3.75 -0.16 -0.07 -0.06
Sector Rotation 0.00 4.70 6.00 -0.10 2.40 3.40 -0.10 -2.30 -2.60 - - -
Equal Weighted US Large Cap Universe 1-Month Return = 0.54%
Long/Short Return Performance
1 Year Cumulative Spread Returns (1-Month Holding Period)
Within the US Large Cap universe the Price Momentum model had the strongest one month decile return
spread performance returning 0.82% during the month while the rest of the models lagged, especially
Relative Value. The performance of the Price Momentum model was driven by the performance of the
long portfolio.
The US Large Cap Sector Rotation model was flat for the month, returning 0.00%.The Industrials sector
had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking.
Model (2)
Decile Return Spread (3)
D1 Excess Return (3)
D10 Excess Return (3)
Information Coefficient (3)
-5.00
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
Deep Value Earnings
Momentum
GARP Historical
Growth
Price
Momentum
Relative
Value
Value
Momentum
2
Value
Momentum
Sector
Rotation
Retu
rn S
pre
ad (
%)
March February
-20%
-15%
-10%
-5%
0%
5%
Deep Value Value Momentum Analyst Relative Value
Historical Growth GARP Earnings Momentum
Value Momentum Analyst 2 Price Momentum Sector Rotation
(1) Universe construction methodology in Appendix 1.1
(2) Model descriptions available in Appendix 1.2
(3) Performance metrics calculations available in Appendix 1.33
Research Signals Model Performance Report
US Small Cap(1)
1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo
Deep Value -0.91 -6.51 -4.40 -1.11 -2.75 -1.30 -0.20 3.76 3.11 -0.04 -0.04 0.02
Earnings Momentum -0.97 -1.24 -12.88 -0.80 1.11 -7.04 0.17 2.35 5.84 -0.04 -0.02 -0.03
GARP -3.23 -9.54 -4.39 -2.25 -2.01 -7.45 0.98 7.53 -3.06 -0.08 -0.03 0.00
Historical Growth 0.84 -4.49 -0.76 -0.37 -0.01 -1.28 -1.20 4.48 -0.53 -0.01 0.00 -0.01
Price Momentum 2.46 2.07 -7.30 1.42 1.39 -4.88 -1.04 -0.68 2.43 0.03 0.00 -0.01
Relative Value -4.68 -11.64 -0.58 -3.33 -2.66 -5.87 1.34 8.98 -5.29 -0.11 -0.04 0.01
Value Momentum 2 -1.09 -8.09 0.23 -0.63 -1.62 -2.91 0.46 6.48 -3.15 -0.05 -0.04 0.01
QSG Small Cap 0.52 -3.12 3.21 -0.03 -0.62 0.54 -0.56 2.51 -2.67 0.04 -0.01 0.02
Sector Rotation 1.30 2.10 24.20 -0.20 0.80 10.20 -1.50 -1.30 -14.00 - - -
Equal Weighted US Small Cap Universe 1-Month Return = -2.58%
Long/Short Return Performance
1 Year Cumulative Spread Returns (1-Month Holding Period)
Over the US Small Cap universe our Price Momentum model had the strongest one month decile return
spread performance, returning 2.46%, while the Relative Value model lagged. The performance of the
Price Momentum model was driven by the performance of the long portfolio.
The US Small Cap Sector Rotation model performed well, returning 1.30%. The Tech sector had a
favorable ranking and the Basic Materials sector had an unfavorable ranking.
D1 Excess Return (3)
Decile Return Spread (3)
D10 Excess Return (3)
Information Coefficient (3)
Model (2)
-6.00
-5.00
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
Deep Value Earnings
Momentum
GARP Historical
Growth
Price
Momentum
Relative
Value
Value
Momentum
2
QSG Small
Cap
Sector
Rotation
Retu
rn S
pre
ad (
%)
March February
-15%
-10%
-5%
0%
5%
10%
15%
Earnings Momentum Price Momentum Relative Value
Historical Growth GARP Value Momentum Analyst 2
Deep Value Value Momentum Analyst QSG Small Cap
Sector Rotation
(1) Universe construction methodology in Appendix 1.1
(2) Model descriptions available in Appendix 1.2
(3) Performance metrics calculations available in Appendix 1.34
Research Signals Model Performance Report
Canada 500(1)
1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo
Deep Value -1.71 -4.60 4.18 -1.77 -2.68 -1.14 -0.06 1.93 -5.32 -0.02 0.02 0.04
Earnings Momentum 1.37 4.20 10.90 0.89 2.95 7.84 -0.48 -1.26 -3.06 0.03 0.05 0.04
Price Momentum 2.80 4.62 6.40 1.11 1.82 5.88 -1.69 -2.80 -0.53 0.15 0.09 0.04
Relative Value -0.41 -3.37 10.52 -0.41 -1.70 3.31 0.01 1.67 -7.21 0.01 0.03 0.06
Value Momentum 0.71 0.47 9.18 0.63 0.93 4.10 -0.08 0.46 -5.09 0.08 0.10 0.06
Equal Weighted Canada 500 Universe 1-Month Return = 0.07%
Long/Short Return Performance
1 Year Cumulative Spread Returns (1-Month Holding Period)
Over the Canadian universe our Price Momentum model had the strongest one month decile return spread
performance, returning 2.80%, while the Deep Value model underperformed. The 52-Week High factor
within the Price Momentum model had a one month decile return spread of 5.55% and was the largest
contributor to the model's performance in March.
Decile Return Spread (3)
D1 Excess Return (3)
D10 Excess Return (3)
Information Coefficient (3)
Model (2)
-2.00
-1.50
-1.00
-0.50
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
Deep Value EarningsMomentum
Price Momentum Relative Value Value Momentum
Retu
rn S
pre
ad (
%)
March February
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
Deep Value Earnings Momentum Price Momentum
Relative Value Value Momentum
(1) Universe construction methodology in Appendix 1.1
(2) Model descriptions available in Appendix 1.2
(3) Performance metrics calculations available in Appendix 1.35
Research Signals Model Performance Report
Japan 2000(1)
1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo
Deep Value -4.62 -6.10 3.75 -1.98 -1.80 0.01 2.63 4.30 -3.75 -0.19 -0.05 0.02
Earnings Momentum 2.02 3.24 -9.56 1.11 2.52 -5.79 -0.91 -0.72 3.77 0.03 0.03 -0.03
Price Momentum -0.36 4.08 7.20 -0.12 2.26 3.62 0.24 -1.82 -3.58 0.01 0.07 0.03
Relative Value -5.13 -9.54 -1.86 -1.95 -2.87 -0.55 3.18 6.67 1.31 -0.23 -0.09 0.00
Value Momentum -5.23 -6.50 1.86 -2.13 -1.99 0.34 3.10 4.51 -1.52 -0.21 -0.07 0.01
Equal Weighted Japan 2000 Universe 1-Month Return = -0.35%
Long/Short Return Performance
1 Year Cumulative Spread Returns (1-Month Holding Period)
D1 Excess Return (3)
D10 Excess Return (3)
Information Coefficient (3)
Decile Return Spread (3)
Within the Japan universe our models struggled with only Earnings Momentum model performing well,
returning 2.02%.
Model (2)
-6.00
-5.00
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
Deep Value EarningsMomentum
Price Momentum Relative Value Value Momentum
Retu
rn S
pre
ad (
%)
March February
-15%
-10%
-5%
0%
5%
10%
15%
Deep Value Earnings Momentum Price Momentum
Relative Value Value Momentum
(1) Universe construction methodology in Appendix 1.1
(2) Model descriptions available in Appendix 1.2
(3) Performance metrics calculations available in Appendix 1.36
Research Signals Model Performance Report
Australia-New Zealand 250(1)
1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo
Deep Value -0.04 -0.45 -0.23 0.27 -0.52 -2.53 0.32 -0.07 -2.30 -0.08 -0.03 -0.01
Earnings Momentum 2.35 3.94 8.38 1.14 4.29 5.67 -1.22 0.35 -2.71 0.12 0.03 0.01
Price Momentum 6.45 7.46 14.76 2.74 4.14 6.96 -3.71 -3.33 -7.80 0.33 0.13 0.05
Relative Value -0.10 1.88 -0.62 0.34 0.26 -1.90 0.44 -1.62 -1.28 -0.04 0.01 -0.01
Value Momentum 4.42 3.50 5.45 2.20 3.31 6.46 -2.22 -0.19 1.01 0.26 0.07 0.03
Equal Weighted Australia New Zealand 250 Universe 1-Month Return = 1.51%
Long/Short Return Performance
1 Year Cumulative Spread Returns (1-Month Holding Period)
The Price Momentum model had the strongest one month decile return spread performance within the
Australia-New Zealand universe returning 6.45%, while the Relative Value model lagged.
The Liquidity and Leverage Rank factor within the Price Momentum model had a one month decile return
spread of 4.88% and was the largest contributor to the model's performance in March.
Model (2) D1 Excess Return
(3)D10 Excess Return
(3)Information Coefficient
(3)Decile Return Spread
(3)
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
Deep Value EarningsMomentum
Price Momentum Relative Value Value Momentum
Retu
rn S
pre
ad (
%)
March February
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
Deep Value Earnings Momentum Price Momentum
Relative Value Value Momentum
(1) Universe construction methodology in Appendix 1.1
(2) Model descriptions available in Appendix 1.2
(3) Performance metrics calculations available in Appendix 1.37
Research Signals Model Performance Report
Developed Europe(1)
1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo
Deep Value -6.23 -4.85 -12.69 -2.87 -1.09 -4.76 3.36 3.76 7.93 -0.25 -0.04 -0.03
Earnings Momentum -1.23 -4.08 -11.36 -1.05 -2.32 -3.73 0.18 1.77 7.64 -0.07 -0.03 -0.03
Price Momentum 5.05 2.59 4.52 1.72 0.12 4.17 -3.33 -2.47 -0.34 0.26 0.04 0.03
Relative Value -4.88 -2.65 -10.19 -2.84 -0.84 -7.30 2.04 1.81 2.88 -0.21 -0.03 -0.03
Value Momentum -0.81 0.70 -0.24 -0.84 -0.92 -3.17 -0.03 -1.62 -2.92 -0.03 0.03 -0.01
Sector Rotation 1.30 3.50 -5.00 1.50 2.30 -1.90 0.20 -1.10 3.10 - - -
Equal Weighted Europe 1000 Universe 1-Month Return = 0.73%
Long/Short Return Performance
1 Year Cumulative Spread Returns (1-Month Holding Period)
Within the Developed Europe universe our Price Momentum model was the top performer on a one month
decile return spread basis, returning 5.05%, while the Deep Value model trailed.
The Developed Europe Sector Rotation model performed well returning 1.30%. The Tech sector had a
favorable ranking and the Healthcare sector had a unfavorable ranking.
Decile Return Spread (3)
D1 Excess Return (3)
D10 Excess Return (3)
Information Coefficient (3)
Model (2)
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
Deep Value EarningsMomentum
PriceMomentum
Relative Value ValueMomentum
Sector Rotation
Retu
rn S
pre
ad (
%)
March February
-20%
-15%
-10%
-5%
0%
5%
10%
15%
Deep Value Earnings Momentum Price Momentum
Relative Value Value Momentum Sector Rotation
(1) Universe construction methodology in Appendix 1.1
(2) Model descriptions available in Appendix 1.2
(3) Performance metrics calculations available in Appendix 1.38
Research Signals Model Performance Report
Developed Pacific(1)
1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo
Deep Value 0.10 2.39 17.38 -0.69 1.53 5.04 -0.79 -0.86 -12.34 -0.06 0.03 0.04
Earnings Momentum 2.93 1.92 -3.47 1.22 1.19 -2.68 -1.70 -0.73 0.79 0.09 0.02 0.01
Price Momentum 3.72 -1.64 13.55 1.42 -1.11 5.10 -2.31 0.53 -8.45 0.14 0.00 0.04
Relative Value 0.00 1.51 13.77 -0.75 1.63 5.02 -0.74 0.11 -8.75 -0.05 0.01 0.03
Value Momentum -2.30 -2.41 10.49 -1.82 -1.48 1.41 0.48 0.93 -9.08 -0.11 -0.02 0.03
Equal Weighted Developed Pacific Universe 1-Month Return = 0.21%
Long/Short Return Performance
1 Year Cumulative Spread Returns (1-Month Holding Period)
Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile
return spread performance, returning 3.72%, while the Value Momentum model lagged.
The Deep Value model's one year cumulative performance is currently 17.39%.
Decile Return Spread (3)
D1 Excess Return (3)
D10 Excess Return (3)
Information Coefficient (3)
Model (2)
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
Deep Value EarningsMomentum
Price Momentum Relative Value Value Momentum
Retu
rn S
pre
ad (
%)
March February
-10%
-5%
0%
5%
10%
15%
20%
25%
Deep Value Earnings Momentum Price Momentum
Relative Value Value Momentum
(1) Universe construction methodology in Appendix 1.1
(2) Model descriptions available in Appendix 1.2
(3) Performance metrics calculations available in Appendix 1.39
Research Signals Model Performance Report
Developed World Ex North America (EAFE)(1)
1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo
Deep Value -4.39 -3.28 -1.90 -2.88 -2.07 -3.45 1.51 1.21 -1.55 -0.22 -0.04 -0.02
Earnings Momentum -0.57 2.25 -6.31 -0.44 0.39 -3.99 0.13 -1.86 2.32 0.02 0.04 -0.02
Price Momentum -0.03 4.87 13.56 -0.14 2.40 7.17 -0.11 -2.47 -6.39 0.03 0.05 0.03
Relative Value -1.31 0.89 10.33 -1.19 0.79 3.52 0.12 -0.10 -6.81 -0.10 0.00 0.01
Value Momentum -2.22 -0.46 2.36 -1.04 -0.80 -1.05 1.18 -0.34 -3.40 -0.16 -0.03 -0.01
Equal Weighted Developed World Ex North America (EAFE) 1-Month Return = 0.74%
Long/Short Return Performance
1 Year Cumulative Spread Returns (1-Month Holding Period)
The models over the Developed World Ex North America (EAFE) universe struggled during the month.
The Price Momentum model's one year cumulative performance number is the highest, 13.55%.
Decile Return Spread (3)
D1 Excess Return (3)
D10 Excess Return (3)
Information Coefficient (3)
Model (2)
-5.00
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
Deep Value EarningsMomentum
Price Momentum Relative Value Value Momentum
Retu
rn S
pre
ad (
%)
March February
-15%
-10%
-5%
0%
5%
10%
15%
Deep Value Earnings Momentum Price Momentum
Relative Value Value Momentum
(1) Universe construction methodology in Appendix 1.1
(2) Model descriptions available in Appendix 1.2
(3) Performance metrics calculations available in Appendix 1.310
Research Signals Model Performance Report
Emerging Markets(1)
1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo
Deep Value -1.78 3.20 9.44 -0.94 1.10 4.59 0.83 -2.09 -4.85 -0.08 0.05 0.03
Earnings Momentum -2.03 0.91 -1.25 -0.90 1.60 -1.40 1.13 0.69 -0.16 -0.06 0.01 0.00
Price Momentum -0.27 -2.54 21.25 -0.24 -1.06 9.31 0.03 1.48 -11.94 0.02 -0.02 0.08
Relative Value -2.93 3.78 10.29 -1.94 1.84 4.95 0.99 -1.94 -5.34 -0.11 0.06 0.03
Value Momentum -2.09 2.78 12.21 -1.15 1.22 7.38 0.94 -1.56 -4.83 -0.09 0.06 0.05
Equal Weighted Emerging Markets Universe 1-Month Return = 2.18%
Long/Short Return Performance
1 Year Cumulative Spread Returns (1-Month Holding Period)
Within the Emerging Markets universe our models struggled.
The Price Momentum model's one year cumulative performance has improved to 21.26%.
Decile Return Spread (3)
D1 Excess Return (3)
Information Coefficient (3)
D10 Excess Return (3)
Model (2)
-3.50
-3.00
-2.50
-2.00
-1.50
-1.00
-0.50
0.00
0.50
1.00
1.50
Deep Value EarningsMomentum
Price Momentum Relative Value Value Momentum
Retu
rn S
pre
ad (
%)
March February
-5%
0%
5%
10%
15%
20%
25%
30%
Deep Value Earnings Momentum Price Momentum
Relative Value Value Momentum
(1) Universe construction methodology in Appendix 1.1
(2) Model descriptions available in Appendix 1.2
(3) Performance metrics calculations available in Appendix 1.311
Research Signals Model Performance Report
Frontier Markets(1)
1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo
Deep Value 2.22 5.68 13.94 1.06 3.33 5.96 -1.16 -2.35 -7.98 0.12 0.10 0.05
Earnings Momentum 1.70 2.78 14.60 1.58 2.23 9.29 -0.11 -0.54 -5.30 0.06 0.04 0.05
Price Momentum 2.13 8.15 24.76 1.64 3.80 11.24 -0.49 -4.35 -13.52 0.15 0.13 0.11
Relative Value -1.34 0.87 12.87 -0.81 0.17 1.27 0.54 -0.70 -11.61 -0.04 0.01 0.03
Value Momentum 0.96 6.64 22.96 0.61 3.86 9.72 -0.34 -2.78 -13.24 0.08 0.09 0.06
Equal Weighted Frontier Markets Universe 1-Month Return = -0.11%
Long/Short Return Performance
1 Year Cumulative Spread Returns (1-Month Holding Period)
Over the Frontier Market's thematic models, the Deep Value model had the strongest one month decile
return spread performance, returning 2.22%.
The Price Momentum model's one year cumulative performance has improved to 24.75%.
The 1-yr Change in Asset Turnover Ratio factor within the Deep Value model, had a one month decile
return spread of 4.26% and was the largest contributor to the model's performance in March.
Decile Return Spread (3)
D1 Excess Return (3)
D10 Excess Return (3)
Information Coefficient (3)
Model (2)
-2.00
-1.50
-1.00
-0.50
0.00
0.50
1.00
1.50
2.00
2.50
Deep Value EarningsMomentum
Price Momentum Relative Value Value Momentum
Retu
rn S
pre
ad (
%)
March February
0%
5%
10%
15%
20%
25%
30%
Deep Value Earnings Momentum Price Momentum
Relative Value Value Momentum
(1) Universe construction methodology in Appendix 1.1
(2) Model descriptions available in Appendix 1.2
(3) Performance metrics calculations available in Appendix 1.312
Research Signals Model Performance Report
Specialty Models(1)
1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo 1mo 3mo 12mo
Bank and Thrift 2(4) 1.38 10.41 11.89 1.21 3.66 4.23 -0.18 -6.75 -7.67 0.06 0.13 0.05
Insurance 1.25 11.25 -3.42 0.62 3.41 -3.91 -0.63 -7.85 -0.49 0.00 0.19 0.00
Oil and Gas 3.41 0.04 21.62 1.74 -0.16 13.30 -1.67 -0.21 -8.32 0.07 -0.02 0.07
REIT 2 -1.03 0.02 4.42 -0.30 0.38 0.87 0.73 0.36 -3.54 -0.06 0.05 0.03
Retail 4.38 0.53 -6.68 1.75 0.37 -2.19 -2.63 -0.16 4.49 0.11 -0.03 0.00
Semiconductor 2.00 0.28 6.21 -0.38 -0.85 0.47 -2.38 -1.12 -5.74 0.09 0.02 0.03
Technology -1.32 -8.59 -14.53 -0.94 -5.08 -6.54 0.38 3.51 7.99 -0.01 -0.08 -0.01
Long/Short Return Performance
1 Year Cumulative Spread Returns (1-Month Holding Period)
Within our specialty model library the Retail and the Oil and Gas models had the strongest one month
quintile return spread performance returning 4.38% and 3.41%, respectively, while the REIT 2 and the
Technology models struggled.
Decile Return Spread (3)
D1 Excess Return (3)
D10 Excess Return (3)
Information Coefficient (3)
Model (2)
-5.00
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
Bank and Thrift
2
Insurance Oil and Gas REIT 2 Retail Semiconductor Technology
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Oil and Gas Semiconductor Insurance Bank and Thrift
Technology Retail REIT 2
(1) Universe construction methodology in Appendix 1.1
(2) Model descriptions available in Appendix 1.2
(3) Performance metrics calculations available in Appendix 1.3
(4) Deciles are used for the Bank and Thrift 2 universe 13
APPENDIX
1.1 UNIVERSE DESCRIPTIONS
Canada 500: Top 500 Canada stocks by market-cap.
US Large Cap: Top 90% of US stocks by cumulative market-cap, including securities held by
passively benchmarked ETF's tracking the same market segment.
US Small Cap: Securities in 91-98% of US stocks by cumulative market-cap, including securities
held by passively benchmarked ETF's tracking the same market segment.
Japan 2000: Top 2000 Japan stocks by market-cap.
Technology: All Technology companies in the US Total Cap universe (top 98% of US stocks).
Semiconductors: Global securities classified in the Semiconductor industry.
Developed Europe: Top 1000 securities in the Developed Europe markets by market-cap.
Australia - New Zealand 250: Top 250 stocks by market-cap in Australia and New Zealand.
Oil & Gas: Global stocks in the oil & gas industry
Developed Pacific: Top 95% of stocks by cumulative free float market-cap among developed
countries in the region, subject to a minimum free float market-cap of USD 250 mm.
Developed World Ex-North America (EAFE): Top 80% of stocks by cumulative market-cap
stocks, in global developed countries excluding US/ Canada.
Emerging Markets: Top 95% of stocks by cumulative free float market-cap among emerging
market countries, subject to a minimum free float market cap of USD 100 mm.
Frontier Markets: Top 95% of stocks by cumulative free float market-cap among frontier market
countries, subject to a minimum free float market cap of USD 100 mm.
Bank and Thrift: All bank and thrift stocks that are part of the US Total Cap universe (top 98% of
US stocks), with a share price > $5 and market-cap >= .01% of the largest bank in the universe.
Insurance Universe: All insurance companies listed on US exchanges, excluding ADR's and
Insurance brokers.
REIT: All US REITs that are part of the US Total Cap universe (top 98% of US stocks), excluding
mortgage REIT's.
Retail: All Retail companies in the US Total Cap universe (top 98% of US stocks), including
those in the Cyclical and Non-Cyclical sectors.
1.2 MODEL DESCRIPTIONSThe reported Decile 1 Excess Returns and Decile 10 Excess Returns are Cumulative Sum
(CUSUM) returns and are measured as the excess return of their respective benchmark over the Deep Value Model (DVM): seeks to identify securities trading at a steep discount to their intrinsic
value.Earnings Momentum Model (EMM): incorporates analyst forecasts alongside in conjunction with
past earnings strength to estimate future earnings potential.
Price Momentum Model (PMM): seeks to combine price changes with several risk factors to
provide a consistent short term investment signal.
Relative Value Model (RVM): an alternative approach to the DVM that considers valuation
indicators on an industry adjusted basis thus mitigating any concentration risk.
Value Momentum Analyst (VMA): a comprehensive style model which includes factors from
Value, Price and Earnings Momentum themes to identify attractive/ unattractive securities.
GARP Model (GARP): designed to identify attractively valued stocks using valuation techniques
that take growth into consideration. The Valuation component selects stocks with attractive
valuation characteristics.
Historical Growth Model (HGM): identifies stocks with an above-average track-record of
earnings growth, strong sales growth and high sustainable growth. This blended approach
enables our Historical Growth Model to not only identifies traditional growth stocks, but also value
stocks on the verge of growth.
Small Cap Model: seeks to exploit the noticeable excess performance in the small cap arena.
Constituent factors selected for its individual and orthogonal power within the small cap space.
Bank and Thrift II Model (QBM2): seeks to generate consistent outperformance by leveraging
specialty data sources to create bank-and-thrift-specific factors which complement a set of broad
factors exhibiting strong performance within the bank and thrift industries.
Insurance Model (QIM): provides a robust methodology to enhance stock selection processes
by comparing the relative performance of insurance companies on a consistent valuation
framework designed to identify stocks with significant alpha generating potential.
Oil and Gas Model (OGM): uses a comprehensive scoring system that systematically values
companies utilizing energy specific operating metrics and fundamental factors relevant to the oil
and gas industry.
Retail Model (QRT): designed to generate alpha by employing general factor signals alongside
key retail specific measures. Retail specific indicators include Same Store Sales and Earnings
Expectations.
REIT Model (QRM): incorporates detailed property level information such as occupancy rate,
location, and building quality to construct a bottom up approach assessment of REIT Net Asset
Value; along with several other metrics.
Technology Model (QTA2): a multidimensional approach of combining several industry-specific
models with a cross-sectional overlay. The model seeks to generate alpha by accounting for the
inherent cyclicality and volatility of sub-industries.
1.3 PERFORMANCE STATS CALCULATIONThe reported Information Coefficient (correlation between model ranks and equity return) is the
average over the given time period. The reported Decile 1 and Decile 10 Excess Returns are
Cumulative Sum (CUMSUM) and are measured as the excess return of their respective
benchmark over a given time period
The reported Decile 1 Excess Returns and Decile 10 Excess Returns are Cumulative Sum
(CUSUM) returns and are measured as the excess return of their respective benchmark over the
given time period.
The reported Long-Short Spread Returns are Cumulative SUM returns and are calculated by
subtracting the total returns of stocks in the bottom decile/quintile from those in the top
decile/quintile over the given time period.
Quintiles are used for performance stats calculations, instead of deciles, in cases of smaller
universe sizes.
The reported performance stats are all in local currency.
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