November 2021 Model Performance Report

Research Signals - November 2021

• US: Within the US Large Cap universe the Deep Value model had the strongest one month decile return spread performance, returning 8.67%, while the Price Momentum model lagged. Over the US Small Cap universe, our Deep Value model had the strongest one month decile return spread performance, returning 12.19%, while the Price Momentum model lagged.
• Developed Europe: Over the Developed Europe universe, our Deep Value model returned 4.79% on a one month decile return spread basis, while Earnings Momentum lagged.
• Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 2.12%, while the Relative Value model lagged. The Value Momentum model's one year cumulative performance is currently 18.98%.
• Emerging Markets: Within the Emerging Markets universe our models struggled. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 12.70%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 1.90%. The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 3.70%. The Industrials sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Healthcare sector had a favorable ranking and the Utilities sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Insurance model had the strongest one month quintile return spread performance returning 7.76%, while the Bank and Thrift 2 model struggled. The Insurance model's one year cumulative performance is the highest at 25.1% while the Bank and Thrift 2 model's performance is the lowest at 2.44%.

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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.