Customer Logins
Obtain the data you need to make the most informed decisions by accessing our extensive portfolio of information, analytics, and expertise. Sign in to the product or service center of your choice.
Customer Logins
EQUITIES COMMENTARY
Sep 10, 2019
August 2019 Model Performance Report
- US: Within the US Large Cap universe the Price Momentum model had the strongest one month decile return spread performance, returning 5.66%, while the Relative Value model lagged. Over the US Small Cap universe our Price Momentum model had the strongest one month decile return spread performance, returning 2.85%, while the Deep Value model lagged. The performance of the Price Momentum model was driven by the performance of the short portfolio.
- 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 1.81%, while the Relative Value model lagged. The Price Momentum model's one year cumulative performance is currently 18.64%.
- Emerging Markets: Within the Emerging Markets universe our Price Momentum model had the strongest one month decile return spread performance, returning 2.18%, while the Deep Value model lagged. The Price Momentum model's one year cumulative performance is the highest for the EM universe at 16.21%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 1.00%. The Cyclicals sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model performed well, returning 2.10%. The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Telecom sector had a favorable ranking and the Energy sector had an unfavorable ranking.
- Specialty Models: Within our specialty model library the Oil and Gas and the Semiconductor models had the strongest one month quintile return spread performance returning 2.21% and 1.62%, respectively, while the Insurance and the Technology models struggled. The Oil and Gas model's one year cumulative performance has improved to 20.51% while the Technology model's performance decreased to -8.78%.
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.
{"items" : [
{"name":"share","enabled":true,"desc":"<strong>Share</strong>","mobdesc":"Share","options":[ {"name":"facebook","url":"https://www.facebook.com/sharer.php?u=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2faugust-2019-model-performance-report.html","enabled":true},{"name":"twitter","url":"https://twitter.com/intent/tweet?url=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2faugust-2019-model-performance-report.html&text=August+2019+Model+Performance+Report+%7c+S%26P+Global+","enabled":true},{"name":"linkedin","url":"https://www.linkedin.com/sharing/share-offsite/?url=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2faugust-2019-model-performance-report.html","enabled":true},{"name":"email","url":"?subject=August 2019 Model Performance Report | S&P Global &body=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2faugust-2019-model-performance-report.html","enabled":true},{"name":"whatsapp","url":"https://api.whatsapp.com/send?text=August+2019+Model+Performance+Report+%7c+S%26P+Global+ http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2faugust-2019-model-performance-report.html","enabled":true}]}, {"name":"rtt","enabled":true,"mobdesc":"Top"}
]}