January 2021 Model Performance Report

Research Signals - January 2021

• US: Within the US Large Cap universe the Value Momentum 2 model had the strongest one month decile return spread performance, returning 4.75%, while the Historical Growth model lagged. Over the US Small Cap universe, our Price Momentum model had the strongest one month decile return spread performance, returning 12.91%, while the Relative Value model lagged.
• Developed Europe: Over the Developed Europe universe, our Value Momentum model returned 2.59% on a one month decile return spread basis.
• Developed Pacific: Over the Developed Pacific universe, the Value Momentum model had the strongest one month decile return spread performance, returning 3.00%, while the Price Momentum model lagged. The Earnings Momentum model's one year cumulative performance is currently 3.59%.
• Emerging Markets: Within the Emerging Markets universe, our Earnings Momentum model returned 2.09% on one month decile return spread basis, while Value Momentum lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 8.21%.
• Sector Rotation: The US Large Cap Sector Rotation model returned -2.00%. The Tech sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -1.20%. The Industrials sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Retail and the Oil and Gas models had the strongest one month quintile return spread performance returning 8.94% and 2.29%, respectively, while the Technology and the REIT 2 models struggled. The Insurance model's one year cumulative performance is the highest at 27.78% while the Technology model's performance is the lowest at -38.35%.

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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.