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US: Model performance was weak across the board for the US
Large Cap universe, with the Historical Growth model earning
highest returns at 3.85%. The Value Momentum 2 model performed the
worst, while the rest of the models also saw negative returns. The
models overall performed well over the US Small Cap universe, our
Historical Growth model was the best performing model with one
month quintile return spread performance of 5.57%.
Developed Europe: The models over the Developed Europe universe
struggled during the month.
Developed Pacific: Over the Developed Pacific universe, the
Price Momentum model had the strongest one month decile return
spread performance, returning 5.12%, while the Relative Value model
lagged. The Value Momentum model's one year cumulative performance
is currently 27.85%.
Emerging Markets: The Price Momentum model had the strongest
one month quintile return spread performance, returning 2.43%. The
Price Momentum model's one year cumulative performance is still the
highest for the EM universe at 30.26%.
Sector Rotation: The US Large Cap Sector Rotation model
returned -2.70%. The Healthcare sector had a favorable ranking and
the Cyclicals sector had an unfavorable ranking. The US Small Cap
Sector Rotation model struggled with a return of -2.00%. The Energy
sector had a favorable ranking and the Telecom sector had an
unfavorable ranking. The Developed Europe Sector Rotation model
struggled during the month. The Healthcare sector had a favorable
ranking and the Financials sector had an unfavorable ranking.
Specialty Models: Within our specialty model library the Bank
and Thrift 2 had the strongest one month decile return spread
performance returning 2.89% while the Semiconductor model lagged.
The Retail model's one year cumulative performance is the highest
at 35.15% while the Bank and Thrift 2 model's performance is the
lowest at 1.6%.
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.
