April 2022 Model Performance Report

Research Signals - April 2022

• US: Within the US Large Cap universe, all models performed well. The Deep Value model had the strongest one month decile return spread performance, returning 14.21%. Over the US Small Cap universe, all of our models also had positive performance. The Deep Value model had the strongest one month decile return spread performance, returning 18.21%.
• Developed Europe: Over the Developed Europe universe, our Deep Value model returned 6.95% on a one month decile return spread basis, while the rest of the models also performed well.
• Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 5.02%, while the Price Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 31.64%.
• Emerging Markets: Within the Emerging Markets universe, our Price Momentum model returned 4.30% on one month quintile return spread basis. The rest of the models within the universe had positive returns as well. The Price Momentum model's one year cumulative performance is still the highest for the EM universe at 14.63%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 4.40%. The Tech sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 5.90%. The Energy sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 1.90%. The Healthcare sector had a favorable ranking and the Cyclicals sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Retail and the Insurance models had the strongest one month quintile return spread performance returning 11.03% and 7.44%, respectively, while the Bank and Thrift 2 and the REIT 2 models struggled. The Insurance model's one year cumulative performance is the highest at 40.14% while the Oil and Gas model's performance is the lowest at 11.44%.

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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.