April 2021 Model Performance Report

Research Signals - April 2021

• US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance, returning 3.12%, while the Earnings Momentum model lagged. Over the US Small Cap universe, our Deep Value model had the strongest one month decile return spread performance, returning 6.51%, while the Earnings Momentum model lagged.
• Developed Europe: Over the Developed Europe universe, our Price Momentum model returned 3.07% on a one month decile return spread basis, while Deep Value lagged.
• Developed Pacific: Over the Developed Pacific universe, the Earnings Momentum model had the strongest one month decile return spread performance, returning 0.42%, while the Value Momentum model lagged. The Earnings Momentum model's one year cumulative performance is currently 4.29%.
• Emerging Markets: Within the Emerging Markets universe, our Value Momentum model returned 3.85% on one month quintile return spread basis, while Price Momentum lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 9.12%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 1.00%.The Non-Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 2.30%. The Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 3.30%. The Industrials sector had a favorable ranking and the Telecom sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Semiconductor model had the strongest one month quintile return spread performance returning 4.40%, while the Oil and Gas model struggled. The Insurance model's one year cumulative performance is the highest at 15.87% while the Retail model's performance is the lowest at -17.41%.

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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.