August 2025 Model Performance Report

1. US: Model performance varied across the board for the US Large Cap universe, where the Value Momentum 2 model produced the highest returns at 4.01%. The Price Momentum model performed the worst. Over the US Small Cap universe, the Relative Value model had the strongest one month decile return spread performance, returning 3.96%. On the 12-month basis, the Deep Value model performed best at 20.68% while the performance of the Earnings Momentum model continued to lag.
2. Developed Europe: Over the Developed Europe universe, the Deep Value model returned 2.07% on a one month decile return spread basis. On a 12-month basis, the Earnings Momentum model performed the best, at 30.06% cumulative.
3. Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 6.78%, while the Relative Value model lagged. On the 12-month basis, the Deep Value model performed best at 33.46% and the performance of the Price Momentum model lagged.
4. Emerging Markets: Within the Emerging Markets universe, the Earnings Momentum model returned 3.05% on one month quintile return spread basis. The Value Momentum model led over the one-year period, with returns at 24.67%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned -3.30%. 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 - 2.00%. The Telecom sector had a favorable ranking and the Utilities 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.
6. Specialty Models: Within the specialty model library, the Technology and the REIT 2 models had the strongest one month quintile return spread performance returning 6.01% and 4.45%, respectively, while the Insurance and the Retail models saw weaker returns. The Retail model's one year cumulative performance was also the highest at 16.45% while the Technology model's performance was the lowest at -17.08%.

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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.