January 2024 Model Performance Report

1. US: Within the US Large Cap universe, most models performed well. The Earnings Momentum model had the strongest one month decile return spread performance, returning 8.46%. Over the US Small Cap universe, the Value Momentum 2 model had the strongest one month decile return spread performance, returning 6.88%. On the 12-month basis, the Value Momentum 2 model performed best at 42.85% while the performance of the Earnings Momentum model continued to lag.
2. Developed Europe: Over the Developed Europe universe, our Relative Value model returned 7.02% on a one month decile return spread basis. On a 12-month basis, the Relative Value model performed the best, at 28.99% cumulative.
3. Developed Pacific: Over the Developed Pacific universe, all models performed well. The Price Momentum model had the strongest one month decile return spread performance, returning 10.89%. The Price Momentum model led the performance over the recent one year, delivering 31.64%.
4. Emerging Markets: Within the Emerging Markets universe, the Price Momentum model returned 6.99% on one month quintile return spread basis. The Price Momentum model led over the one-year period, with returns at 20.43%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned -1.60%.The Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The US Small Cap Sector Rotation model earned a return of 0.70%. The Non-Cyclicals sector had a favorable ranking and the Financials sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Financials sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking.
6. Specialty Models: The Retail model's one year cumulative performance was the highest at 46.05% while the REIT 2 model's performance was the lowest at 1.51%. Within the specialty model library the Retail and the Insurance models had the strongest one month quintile return spread performance returning 6.54% and 5.55%, respectively, while the Bank and Thrift 2 and the REIT 2 models struggled.

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