ARTICLES & REPORTS — Jun 12, 2023

May 2023 Model Performance Report

  1. US: Model performance varies across the board for the US Large Cap universe, with the Earnings Momentum model producing highest returns at 1.55%. The Deep Value model performed the worst. The US Large Cap Sector Rotation model returned 4.80%.The Industrials sector had a favorable ranking and the Financials sector had an unfavorable ranking.Over the US Small Cap universe, the Price Momentum model had the strongest one month decile return spread performance, returning 5.04%. On the 12-month basis, the GARP model performs best at 29.32% while the performance of the Earnings Momentum model continues to lag. The US Small Cap Sector Rotation model earned a return of 1.90%. The Utilities sector had a favorable ranking and the Telecom sector had an unfavorable ranking.
  2. Developed Europe: Over the Developed Europe universe, our Earnings Momentum model returned 4.11% on a one month decile return spread basis, while Relative Value lagged. On a 12-month basis, the Deep Value model performs best, at 16.23% cumulative.The Developed Europe Sector Rotation model returned 4.00%. The Cyclicals sector had a favorable ranking and the Utilities sector had an unfavorable ranking.
  3. Developed Pacific: Over the Developed Pacific universe, the Relative Value model had the strongest one month decile return spread performance, returning 0.58%, while the Price Momentum model lagged. The Value Momentum model leads performance over the recent one year, delivering 20.94%.
  4. Emerging Markets: Within the Emerging Markets universe our models struggled. The Value Momentum model continues to lead over the one-year period, with returns at 15.37%.
  5. Sector Rotation: The US Large Cap Sector Rotation model returned 4.80%.The Industrials sector had a favorable ranking and the Financials sector had an unfavorable ranking.The US Small Cap Sector Rotation model earned a return of 1.90%. The Utilities sector had a favorable ranking and the Telecom sector had an unfavorable ranking.The Developed Europe Sector Rotation model returned 4.00%. The Cyclicals sector had a favorable ranking and the Utilities sector had an unfavorable ranking..
  6. Specialty Models: Within our specialty model library the Retail and the Insurance models had the strongest one month quintile return spread performance returning 6.92% and 5.30%, respectively, while the Bank and Thrift 2 and the Technology models struggled. The Retail model's one year cumulative performance is the highest at 46.43% while the REIT 2 model's performance is the lowest at -8.74%.

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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.