January 2022 Model Performance Report

Research Signals - January 2022

• US: Within the US Large Cap universe the Value Momentum model had the strongest one month decile return spread performance, returning 16.70%, while the Historical Growth model lagged. Over the US Small Cap universe, our Deep Value model had the strongest one month decile return spread performance, returning 22.94%, while the Price Momentum model lagged.
• Developed Europe: Over the Developed Europe universe, our Value Momentum model returned 16.08% on a one month decile return spread basis, while Price Momentum lagged.
• Developed Pacific: Over the Developed Pacific universe, the Value Momentum model had the strongest one month decile return spread performance, returning 17.53%. The rest of the models within the region had a positive return spread as well. The Value Momentum model's one year cumulative performance is currently 41.75%.
• Emerging Markets: Within the Emerging Markets universe, our Value Momentum model returned 7.49% on one month quintile return spread basis. The rest of the models within the universe had positive returns as well. The Price Momentum model's one year cumulative performance is still the highest for the EM universe at 12.23%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 6.60%. The Energy sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 7.70%. The Energy sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Financials sector had a favorable ranking and the Telecom sector had an unfavorable ranking.
• Specialty Models: Our specialty model library performed well in January. The Technology model had the strongest one month quintile return spread performance returning 11.75%. The Technology model's one year cumulative performance is the highest at 40.89% while the Bank and Thrift 2 model's performance is the lowest at 6.38%.

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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.