ARTICLES & REPORTS — Oct 25, 2023

September 2023 Model Performance Report

  1. US: Within the US Large Cap universe, most models performed well. The Deep Value model had the strongest one month decile return spread performance, returning 5.69%. The US Large Cap Sector Rotation model returned -4.00%.The Tech sector had a favorable ranking and the Financials sector had an unfavorable ranking. Over the US Small Cap universe, the GARP model had the strongest one month decile return spread performance, returning 9.84%. On the 12-month basis, the GARP model performed best at 45.79% while the performance of the Earnings Momentum model continued to lag. The US Small Cap Sector Rotation model struggled earned a return of -2.50%. The Non-Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking.
  2. Developed Europe: Most models performed well over the Developed Europe universe, the Deep Value model was the best performing model with one month decile return spread performance of 6.05%. On a 12-month basis, the Deep Value model performed the best, at 34.73% cumulative. The Developed Europe Sector Rotation model struggled during the month. The Industrials sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking.
  3. Developed Pacific: Over the Developed Pacific universe, all models performed well. The Deep Value model had the strongest one month decile return spread performance, returning 9.24%.The Value Momentum model led the performance over the recent one year, delivering 25.95%.
  4. Emerging Markets: The Deep Value model had the strongest one month quintile return spread performance, returning 1.79%. The Value Momentum model continued to lead over the one-year period, with returns at 26.96%.
  5. Sector Rotation: The US Large Cap Sector Rotation model returned -4.00%.The Tech sector had a favorable ranking and the Financials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled earned a return of -2.50%. The Non-Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Industrials sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking.
  6. Specialty Models: The Retail model's one year cumulative performance was the highest at 45.51% while the REIT 2 model's performance was the lowest at -3.66%. Within the specialty model library the Insurance and the Technology models had the strongest one month quintile return spread performance returning 9.44% and 4.80%, respectively, while the Oil and Gas and the REIT 2 models struggled.

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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.