- US: Model performance varied across the board for the US Large Cap universe, where the Historical Growth model produced the highest returns at 4.53%. The Price Momentum model performed the worst. Over the US Small Cap universe, the Deep Value model had the strongest one month decile return spread performance, returning 5.48%. On the 12-month basis, the Deep Value model performed best at 47.68% while the performance of the Earnings Momentum model continued to lag.
- Developed Europe: Over the Developed Europe universe, the Deep Value model returned 4.32% on a one month decile return spread basis. On a 12-month basis, the Value Momentum model performed the best, at 29.08% cumulative.
- Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 2.04%, while the Price Momentum model lagged. On the 12-month basis, the Deep Value model performed best at 32.82% while the performance of the Price Momentum model continued to lag.
- Emerging Markets: Within the Emerging Markets universe, the Relative Value model returned 0.93% on one month quintile return spread basis. The Deep Value model led over the one-year period, with returns at 17.27%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 0.00%. The Cyclicals sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking.The US Small Cap Sector Rotation model struggled and earned a return of -5.80%. The NonCyclicals sector had a favorable ranking and the Financials sector had an unfavorable ranking.The Developed Europe Sector Rotation model returned 2.10%. The Telecom sector had a favorable ranking and the Energy sector had an unfavorable ranking.
- Specialty Models: Within the specialty model library, the Retail and the Oil and Gas models had the strongest one month quintile return spread performance returning 7.37% and 3.59%, respectively, while the Semiconductor and the Technology models saw weaker returns. The Retail model's one year cumulative performance was also the highest at 39.97% while the Oil and Gas model's performance was the lowest at -3.49%.
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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.