- US: Within the US Large Cap universe, most models performed well. The Value Momentum model had the strongest one month decile return spread performance, returning 1.62%. The US Large Cap Sector Rotation model returned 4.50%.The Industrials sector had a favorable ranking and the Telecom sector had an unfavorable ranking.Over the US Small Cap universe, the Relative Value model had the strongest one month decile return spread performance, returning 3.64%. On the 12-month basis, the GARP model performs best at 35.62% while the performance of the Earnings Momentum model continues to lag. The US Small Cap Sector Rotation model struggled earned a return of -3.00%. The Utilities sector had a favorable ranking and the Telecom sector had an unfavorable ranking.
- Developed Europe: Most models performed well over the Developed Europe universe, the Earnings Momentum model was the best performing model with one month decile return spread performance of 9.03%. On a 12-month basis, the Deep Value model performs best, at 18.95% cumulative. The Developed Europe Sector Rotation model returned 1.00%. The Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking.
- Developed Pacific: Over the Developed Pacific universe, all models performed well. The Deep Value model had the strongest one month decile return spread performance, returning 4.99%. The Price Momentum model leads performance over the recent one year, delivering 20.06%.
- Emerging Markets: The Price Momentum model had the strongest one month quintile return spread performance, returning 2.81%. The Value Momentum model continues to lead over the one-year period, with returns at 18.51%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 4.50%.The Industrials sector had a favorable ranking and the Telecom sector had an unfavorable ranking.The US Small Cap Sector Rotation model struggled earned a return of -3.00%. The Utilities sector had a favorable ranking and the Telecom sector had an unfavorable ranking.The Developed Europe Sector Rotation model returned 1.00%. The Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking.
- Specialty Models: Within our specialty model library the Technology and the REIT 2 models had the strongest one month quintile return spread performance returning 4.81% and 2.40%, respectively, while the Semiconductor and the Retail models struggled. The Retail model's one year cumulative performance is the highest at 39.67% while the REIT 2 model's performance is the lowest at -6.36%.
Contact: MK-ResearchSignals@ihsmarkit.com
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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.
