May 2021 Model Performance Report

Research Signals - May 2021

• US: Within the US Large Cap universe the Value Momentum 2 model had the strongest one month decile return spread performance, returning 6.28%, 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 7.73%, while the Historical Growth model lagged.
• Developed Europe: Over the Developed Europe universe, our Deep Value model returned 3.75% 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 1.80%, while the Price Momentum model lagged. The Relative Value model's one year cumulative performance is currently 11.43%.
• Emerging Markets: Within the Emerging Markets universe, our Price Momentum model returned 4.28% 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 11.46%.
• Sector Rotation: The US Large Cap Sector Rotation model returned -5.60%. The Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking.The US Small Cap Sector Rotation model struggled with a return of -3.40%. The Non-Cyclicals sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking.The Developed Europe Sector Rotation model returned 3.30%. The Industrials sector had a favorable ranking and the Telecom sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Technology model had the strongest one month quintile return spread performance returning 6.03%, while the Semiconductor model struggled. The Insurance model's one year cumulative performance is the highest at 13.46% while the Oil and Gas model's performance is the lowest at -24.68%.

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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.