Global equities declined on an equal-weight basis in June. Developed Europe saw the largest decline (-3.2%). Developed Asia ex-Japan declined 3.1%, with Hong Kong being the largest detractor (-5.0%), followed by Singapore (-1.6%), and Australia (-1.4%). The U.K. fell -2.4%, while the U.S. and Canada declined -1.7% and -1.0%, respectively. Japan and Emerging markets were the only regions to see moderate price increases of 1.0% and 0.3%, respectively. Within Emerging Markets, India (+7.0%) and Taiwan (+3.4%) were the strongest performers. In the U.S., large caps gained 0.2%, while small caps fell -2.6%. In Developed Europe and U.K, both large caps and small caps declined by approximately -2.6% and -2.8%, respectively.
Overall, Combined Alpha Model (CAM) and Analyst Revision Model (ARM) showed the greatest breadth, as most markets covered in this report showed positive decile spreads in June. China showed the largest positive decile spread for CAM at 6.8 percentage points (ppt), followed by Canada (6.6 ppt), and U.K. (6.0 ppt).
When looking at longer-term performance, trailing twelve-month (TTM) decile spreads have been strong across all markets. Developed Asia ex. Japan has seen decile spreads in excess of 30 ppt across seven of nine models, with Val-Mo having the largest spread of 60.4 ppt and outperforming its benchmark by 40.5 ppt. Emerging Markets are showing similar performance with Val-Mo showing a TTM spread of 62.9 ppt, outperforming its benchmark by 28.6 ppt.
When looking at long-only top-decile performance on an absolute basis, MMS had the greatest breadth with most markets showing a positive return in June, with India and Taiwan leading. The best performing models were found in India, as EQ had a top decile return of 10.8%, followed by MMS (8.2%), and CAM (6.6%).
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