Alpha signals

February 2024 Model Performance Report

1. US: Within the US Large Cap universe, most models performed well. The Historical Growth model had the strongest one month decile return spread performance, returning 6.66%. Over the US Small Cap universe, the Earnings Momentum model had the strongest one month decile return spread performance, returning 8.01%. On the 12-month basis, the Value Momentum 2 model performed best at 30.14% while the performance of the Deep Value model continued to lag.
2. Developed Europe: Over the Developed Europe universe, our Earnings Momentum model returned 5.55% on a one month decile return spread basis. On a 12-month basis, the Relative Value model performed the best, at 27.94% cumulative.
3. Developed Pacific: Over the Developed Pacific universe, the Earnings Momentum model had the strongest one month decile return spread performance, returning 1.25%, while the Price Momentum model lagged. The Deep Value model led the performance over the recent one year, delivering 25.33%.The models struggled over the Developed Pacific universe during the month.
4. Emerging Markets: Within the Emerging Markets universe, the Earnings Momentum model returned 1.82% on one month quintile return spread basis. The Price Momentum model led over the one-year period, with returns at 19.61%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned 1.60%.The Cyclicals 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 2.90%. The Non-Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Financials sector had a favorable ranking and the Energy sector had an unfavorable ranking.
6. Specialty Models: The Retail model's one year cumulative performance was the highest at 44.07% while the REIT 2 model's performance was the lowest at 2.45%. Within the specialty model library the Insurance and the Oil and Gas models had the strongest one month quintile return spread performance returning 6.96% and 3.55%, respectively, while the Semiconductor and the Technology models struggled.

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