October 2021 Model Performance Report

Research Signals - October 2021

• US: Within the US Large Cap universe, the Historical Growth model had the strongest one month decile return spread performance, returning 2.33%, while the Value Momentum model lagged. Over the US Small Cap universe, our Deep Value model had the strongest one month decile return spread performance, returning 5.37%, while the Earnings Momentum model lagged.
• Developed Europe: Over the Developed Europe universe, our Price Momentum model returned 5.76% on a one month decile return spread basis, while Value Momentum lagged.
• Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 0.75%, while the Earnings Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 18.51%.
• Emerging Markets: Within the Emerging Markets universe, our Value Momentum model returned 1.45% on one month quintile return spread basis, while Price Momentum lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 8.59%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 3.30%. The Industrials sector had a favorable ranking and the Financials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -3.90%. The Telecom sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Industrials sector had a favorable ranking and the Energy 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 4.77%, while the Technology model struggled. The Insurance model's one year cumulative performance is the highest at 22.53% while the Oil and Gas model's performance is the lowest at -8.9%.

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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.