July 2025 Model Performance Report

US:
Model performance was unfavourable across the board for the US Large Cap universe, with the Historical Growth model earning highest returns at -0.76%. The Value Momentum model performed the worst, while the rest of the models also saw negative returns. Over the US Small Cap universe, the Price Momentum model had the strongest one month decile return spread performance, returning 0.67%. On the 12-month basis, the Deep Value model performed best at 21.79% while the performance of the Earnings Momentum model continued to lag.

Developed Europe:
Over the Developed Europe universe, the Earnings Momentum model returned 5.93% on a one month decile return spread basis. On a 12-month basis, the Value Momentum model performed the best, at 28.59% cumulative.

Developed Pacific:
Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 2.12%, while the Relative Value model lagged. On the 12-month basis, the Deep Value model performed best at 28.95% while the performance of the Price Momentum model continued to lag.

Emerging Markets:
Within the Emerging Markets universe, the Relative Value model returned 2.26% on one month quintile return spread basis. The Value Momentum model led over the one-year period, with returns at 23.97%.

Sector Rotation:
The US Large Cap Sector Rotation model returned 2.70%. The Healthcare sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking.The US Small Cap Sector Rotation model struggled and earned a return of -0.90%. 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 Utilities sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking.

Specialty Models:
Within the specialty model library, the Oil and Gas and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 6.27% and -0.32%, respectively, while the Insurance and the Technology models saw weaker returns. The Retail model's one year cumulative performance was also the highest at 25.1% while the Technology model's performance was the lowest at -18.93%.

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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.