July 2021 Model Performance Report

Research Signals - July 2021

• US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance, returning 9.57%, while the Price Momentum model lagged. Over the US Small Cap universe, our Deep Value model had the strongest one month decile return spread performance, returning 11.25%, while the Price Momentum model lagged.
• Developed Europe: Over the Developed Europe universe, our Price Momentum model returned 3.50% on a one month decile return spread basis, while Deep Value lagged.
• Developed Pacific: Over the Developed Pacific universe, the Value Momentum model had the strongest one month decile return spread performance, returning 6.50%, while the Earnings Momentum model lagged. The Relative Value model's one year cumulative performance is currently 20.98%.
• Emerging Markets: Within the Emerging Markets universe, our Earnings Momentum model returned 2.54% on one month quintile 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 10.33%.
• Sector Rotation: The US Large Cap Sector Rotation model returned -0.40%.The Tech sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 1.90%. The Industrials sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 3.30%. The Industrials sector had a favorable ranking and the Energy sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Insurance model had the strongest one month quintile return spread performance returning 7.81%, while the Retail model struggled. The Insurance model's one year cumulative performance is the highest at 14.71% while the Retail model's performance is the lowest at -22.51%.

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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.