April 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 2.04%. Over the US Small Cap universe, the Deep Value model had the strongest one month decile return spread performance, returning 7.45%. On the 12-month basis, the Value Momentum 2 model performed best at 35.75% while the performance of the Earnings Momentum model continued to lag.
2. Developed Europe: Over the Developed Europe universe, the Deep Value model returned 9.01% on a one month decile return spread basis. On a 12-month basis, the Deep Value model performed the best, at 36.79% cumulative.
3. Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 9.17%, while the Earnings Momentum model lagged. The Value Momentum model led the performance over the recent one year, delivering 28.39%.The models struggled over the Developed Pacific universe during this month.
4. Emerging Markets: Within the Emerging Markets universe, the Price Momentum model returned 1.31% on one month quintile return spread basis. The Price Momentum model led over the one-year period, with returns at 18.90%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned 0.20%.The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled earned a return of -2.20%. The Tech sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Industrials sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking.
6. Specialty Models: The Retail model's one year cumulative performance was the highest at 33.15% while the Technology model's performance was the lowest at 2.35%. Within the specialty model library the Semiconductor and the Oil and Gas models had the strongest one month quintile return spread performance returning 4.13% and 3.13%, respectively, while the Technology and the Retail models struggled.

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