December 2022 Model Performance Report

Research Signals - December 2022

• US: Within the US Large Cap universe, almost all models performed well. The Value Momentum model had the strongest one month decile return spread performance, returning 3.18%. The models overall performed well over the US Small Cap universe, our Relative Value model was the best performing model with one month quintile return spread performance of 9.16%.
• Developed Europe: Most models performed well over the Developed Europe universe, our Earnings Momentum model was the best performing model with one month decile return spread performance of 3.94%.
• Developed Pacific: Over the Developed Pacific universe, the Relative Value model had the strongest one month decile return spread performance, returning 4.50%, while the Price Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 33.84%.
• Emerging Markets: The Value Momentum model had the strongest one month quintile return spread performance, returning 4.54%. The Value Momentum model's one year cumulative performance is still the highest for the EM universe at 34.28%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 1.30%. The Tech sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 2.00%. The Utilities sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Non-Cyclicals sector had a favorable ranking and the Financials sector had an 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 7.30% and 5.30%, respectively, while the Semiconductor and the Oil and Gas models struggled. The Retail model's one year cumulative performance is the highest at 41.94% while the REIT 2 model's performance is the lowest at 1.3%.

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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.