June 2021 Model Performance Report

Research Signals - June 2021

• US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance, returning 0.25%, while the Earnings Momentum model lagged. Over the US Small Cap universe, our Price Momentum model had the strongest one month decile return spread performance, returning 0.26%, while the Deep Value model lagged.
• Developed Europe: Over the Developed Europe universe, our Value Momentum model returned 0.92% on a one month decile return spread basis, while Relative Value lagged.
• Developed Pacific: Over the Developed Pacific universe, the Earnings Momentum model had the strongest one month decile return spread performance, returning 1.27%, while the Value Momentum model lagged. The Relative Value model's one year cumulative performance is currently 13.76%.
• Emerging Markets: Within the Emerging Markets universe, our Earnings Momentum model returned 0.55% 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 11.99%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 4.60%. The Cyclicals sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 1.70%. The Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Bank and Thrift 2 model had the strongest one month decile return spread performance returning 1.83%, while the Technology model struggled. The Insurance model's one year cumulative performance is the highest at 9.03% while the Retail model's performance is the lowest at -17.88%.

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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.