- US: Within the US Large Cap universe, most models performed well. The Deep Value model had the strongest one month decile return spread performance, returning 4.96%. The US Large Cap Sector Rotation model returned 1.90%.The Energy sector had a favorable ranking and the Utilities sector had an unfavorable ranking.Over the US Small Cap universe, almost all of our models had positive performance. The Small Cap model had the strongest one month decile return spread performance, returning 5.00%. On the 12-month basis, the GARP model's performs best at 42.16% while the performance of the Earnings Momentum model continues to lag.
- Developed Europe: Over the Developed Europe universe, our Relative Value model returned 0.08% on a one month decile return spread basis, while Earnings Momentum lagged. On a 12-month basis, the Deep Value model performs best, at 20.12% cumulative. The Developed Europe Sector Rotation model returned 1.60%. The Industrials sector had a favorable ranking and the Energy sector had an unfavorable ranking.
- Developed Pacific: Over the Developed Pacific universe, all models performed well. The Price Momentum model had the strongest one month decile return spread performance, returning 3.77%. The Value Momentum model leads performance over the recent one year, delivering 24.16%.
- Emerging Markets: The Price Momentum model had the strongest one month quintile return spread performance, returning 3.34%. The Value Momentum model continues to lead over the one-year period, with returns at 26.10%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 1.90%.The Energy sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 1.70%. The Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 1.60%. The Industrials sector had a favorable ranking and the Energy sector had an unfavorable ranking.
- Specialty Models: Within our specialty model library the Technology and the Retail models had the strongest one month quintile return spread performance returning 6.91% and 6.28%, respectively, while the Semiconductor and the REIT 2 models struggled. The Retail model's one year cumulative performance is the highest at 39.72% while the REIT 2 model's performance is the lowest at -5.76%.
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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.
