- US: Model performance varied across the board for the US Large Cap universe, where the Price Momentum model produced the highest returns at 5.50%. The Deep Value model performed the worst. Over the US Small Cap universe, the Price Momentum model had the strongest one month decile return spread performance, returning 6.16%. On the 12-month basis, the Value Momentum 2 model performed best at 38.25% while the performance of the Earnings Momentum model continued to lag.
- Developed Europe: The models over the Developed Europe universe struggled during the month. On a 12-month basis, the Deep Value model performed the best, at 27.23% cumulative.
- Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 3.31%, while the Deep Value model lagged. The Value Momentum model led the performance over the recent one year, delivering 24.03%.
- Emerging Markets: The Value Momentum model had the strongest one month quintile return spread performance, returning 1.01%. The Value Momentum model continued to lead over the one-year period, with returns at 15.47%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 1.60%.The Cyclicals sector had a favorable ranking and the Financials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled earned a return of -1.90%. The Non-Cyclicals sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Financials sector had a favorable ranking and the Healthcare sector had an unfavorable ranking.
- Specialty Models: The Retail model's one year cumulative performance was the highest at 45.52% while the REIT 2 model's performance was the lowest at -5.49%. Within the specialty model library the Retail and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 2.89% and 0.18%, respectively, while the Insurance and the Oil and Gas models struggled.
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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.
