EQUITIES COMMENTARY
May 06, 2022
April 2022 Model Performance Report
Research Signals - April 2022
- US: Within the US Large Cap universe, all models performed
well. The Deep Value model had the strongest one month decile
return spread performance, returning 14.21%. Over the US Small Cap
universe, all of our models also had positive performance. The Deep
Value model had the strongest one month decile return spread
performance, returning 18.21%.
- Developed Europe: Over the Developed Europe universe, our Deep
Value model returned 6.95% on a one month decile return spread
basis, while the rest of the models also performed well.
- Developed Pacific: Over the Developed Pacific universe, the
Deep Value model had the strongest one month decile return spread
performance, returning 5.02%, while the Price Momentum model
lagged. The Value Momentum model's one year cumulative performance
is currently 31.64%.
- Emerging Markets: Within the Emerging Markets universe, our
Price Momentum model returned 4.30% on one month quintile return
spread basis. The rest of the models within the universe had
positive returns as well. The Price Momentum model's one year
cumulative performance is still the highest for the EM universe at
14.63%.
- Sector Rotation: The US Large Cap Sector Rotation model
returned 4.40%. The Tech sector had a favorable ranking and the
Cyclicals sector had an unfavorable ranking. The US Small Cap
Sector Rotation model with a return of 5.90%. The Energy sector had
a favorable ranking and the Telecom sector had an unfavorable
ranking. The Developed Europe Sector Rotation model returned 1.90%.
The Healthcare sector had a favorable ranking and the Cyclicals
sector had a unfavorable ranking.
- Specialty Models: Within our specialty model library the Retail
and the Insurance models had the strongest one month quintile
return spread performance returning 11.03% and 7.44%, respectively,
while the Bank and Thrift 2 and the REIT 2 models struggled. The
Insurance model's one year cumulative performance is the highest at
40.14% while the Oil and Gas model's performance is the lowest at
11.44%.

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S&P Global provides industry-leading data, software and technology platforms and managed services to tackle some of the most difficult challenges in financial markets. We help our customers better understand complicated markets, reduce risk, operate more efficiently and comply with financial regulation.
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.
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