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EQUITIES COMMENTARY Jan 05, 2021

December 2020 Model Performance Report

Research Signals - December 2020

  • US: Within the US Large Cap universe the Value Momentum 2 model had the strongest one month decile return spread performance, returning 0.77%, while the Historical Growth model lagged. Over the US Small Cap universe, our Price Momentum model had the strongest one month decile return spread performance, returning 2.29%, while the Earnings Momentum model lagged.
  • Developed Europe: Over the Developed Europe universe, our Earnings Momentum model returned 0.96% on a one month decile return spread basis, while the Price Momentum model trailed.
  • Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 0.16%, while the Value Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 9.49%.
  • Emerging Markets: Within the Emerging Markets universe, our Earnings Momentum model returned 1.82% on one month decile 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 9.09%.
  • Sector Rotation: The US Large Cap Sector Rotation model returned 0.60%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -0.10%. The Cyclicals sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 2.70%. The Basic Materials sector had a favorable ranking and the Energy sector had a unfavorable ranking.
  • Specialty Models: Within our specialty model library the Insurance and the REIT 2 models had the strongest one month quintile return spread performance returning 2.82% and 0.38%, respectively, while the Semiconductor and the Retail models struggled. The Insurance model's one year cumulative performance is the highest at 25.85% while the Technology model's performance is the lowest at -42.99%.

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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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