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NOT LIVE
ARTICLES & REPORTSMay 12, 2023
April 2023 Model Performance Report
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 4.96%. The US
Large Cap Sector Rotation model returned 1.90%.The Energy sector
had a favorable ranking and the Utilities sector had an unfavorable
ranking.Over the US Small Cap universe, almost all of our models
had positive performance. The Small Cap model had the strongest one
month decile return spread performance, returning 5.00%. On the
12-month basis, the GARP model's performs best at 42.16% while the
performance of the Earnings Momentum model continues to lag.
Developed Europe: Over the Developed Europe
universe, our Relative Value model returned 0.08% on a one month
decile return spread basis, while Earnings Momentum lagged. On a
12-month basis, the Deep Value model performs best, at 20.12%
cumulative. The Developed Europe Sector Rotation model returned
1.60%. The Industrials sector had a favorable ranking and the
Energy sector had an unfavorable ranking.
Developed Pacific: Over the Developed Pacific
universe, all models performed well. The Price Momentum model had
the strongest one month decile return spread performance, returning
3.77%. The Value Momentum model leads performance over the recent
one year, delivering 24.16%.
Emerging Markets: The Price Momentum model had
the strongest one month quintile return spread performance,
returning 3.34%. The Value Momentum model continues to lead over
the one-year period, with returns at 26.10%.
Sector Rotation: The US Large Cap Sector
Rotation model returned 1.90%.The Energy sector had a favorable
ranking and the Utilities sector had an unfavorable ranking. The US
Small Cap Sector Rotation model with a return of 1.70%. The
Cyclicals sector had a favorable ranking and the Telecom sector had
an unfavorable ranking. The Developed Europe Sector Rotation model
returned 1.60%. The Industrials sector had a favorable ranking and
the Energy sector had an unfavorable ranking.
Specialty Models: Within our specialty model
library the Technology and the Retail models had the strongest one
month quintile return spread performance returning 6.91% and 6.28%,
respectively, while the Semiconductor and the REIT 2 models
struggled. The Retail model's one year cumulative performance is
the highest at 39.72% while the REIT 2 model's performance is the
lowest at -5.76%.
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.
