- US: The models over the US Large Cap universe struggled during the month. Many models had a negative performance. Over the US Small Cap universe, the Small Cap model had the strongest one month decile return spread performance, returning 2.56%. On the 12-month basis, the Price Momentum model performed best at 21.34% while the performance of the Earnings Momentum model continued to lag.
- Developed Europe: Over the Developed Europe universe, the Deep Value model returned -1.30% on a one month decile return spread basis. On a 12-month basis, the Relative Value model performed the best, at 18.11% cumulative.
- Developed Pacific: The models exhibited variability across the Developed Pacific Universe. The Deep Value model had the strongest one month decile return spread performance, returning 4.62%. The Deep Value model led the performance over the recent one year as well, delivering 21.05%.
- Emerging Markets: Within the Emerging Markets universe, the Value Momentum model returned 4.28% on one month quintile return spread basis. The Price Momentum model led over the one-year period, with returns at 22.62%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 3.10%. The Telecom sector had a favorable ranking and the Financials sector had an unfavorable ranking. The US Small Cap Sector Rotation model earned a return of 1.40%. The Non-Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 1.70%. The Telecom sector had a favorable ranking and the Energy sector had an unfavorable ranking.
- Specialty Models: The Semiconductor model's one year cumulative performance was the highest at 28.81% while the Oil and Gas model's performance was the lowest at 5.22%. Within the specialty model library, the Insurance and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 4.48% and 0.51%, respectively, while the Retail and the Oil and Gas models saw weaker returns.
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This article was published by S&P Global Market Intelligence and not by S&P Global Ratings, which is a separately managed division of S&P Global.
