October 2022 Model Performance Report

Research Signals - October 2022

• US: Within the US Large Cap universe, almost all models performed well. The Deep Value model had the strongest one month decile return spread performance, returning 8.07%.Over the US Small Cap universe, almost all of our models had positive performance. The Deep Value model had the strongest one month decile return spread performance, returning 8.51%.
• Developed Europe: The models performed well over the Developed Europe universe, our Earnings Momentum model was the best performing model with one month decile return spread performance of 5.13%.
• Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 6.25%, while the Relative Value model lagged. The Value Momentum model's one year cumulative performance is currently 31.48%.
• Emerging Markets: The Deep Value model had the strongest one month quintile return spread performance, returning 5.99%. The Price Momentum model's one year cumulative performance is still the highest for the EM universe at 26.26%.
• Sector Rotation: The US Large Cap Sector Rotation model returned -1.20%. The Healthcare sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -5.60%. The Healthcare sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 1.50%. The Basic Materials sector had a favorable ranking and the Financials sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Technology and the Insurance models had the strongest one month quintile return spread performance returning 5.75% and 4.05%, respectively, while the Bank and Thrift 2 and the Semiconductor models struggled. The Technology model's one year cumulative performance is the highest at 44.03% while the Bank and Thrift 2 model's performance is the lowest at -0.59%.

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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.