February 2021 Model Performance Report

Research Signals - February 2021

• US: Within the US Large Cap universe the Value Momentum 2 model had the strongest one month decile return spread performance, returning 1.56%, while the Historical Growth model lagged. Over the US Small Cap universe, our Value Momentum 2 model had the strongest one month decile return spread performance, returning 4.16%, while the Historical Growth model lagged.
• Developed Europe: The models over the Developed Europe universe struggled during the month.
• Developed Pacific: Over the Developed Pacific universe, the Value Momentum model had the strongest one month decile return spread performance, returning 7.23%, while the Price Momentum model lagged. The Earnings Momentum model's one year cumulative performance is currently 1.23%.
• Emerging Markets: Within the Emerging Markets universe, our Earnings Momentum model returned 1.71% on one month decile return spread basis, while Relative Value lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 7.49%.
• Sector Rotation: The US Large Cap Sector Rotation model returned -1.90%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -2.50%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 2.90%. The Financials sector had a favorable ranking and the Telecom sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Technology model had the strongest one month quintile return spread performance returning 0.93%, while the Retail and the Insurance models struggled. The Insurance model's one year cumulative performance is the highest at 20.85% while the Retail model's performance is the lowest at -32.4%.

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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.