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NOT LIVE
ARTICLES & REPORTSSep 10, 2024
August 2024 Model Performance Report
US: Within the US Large Cap universe, most
models performed well. The Price Momentum model had the strongest
one-month decile return spread performance, returning 2.52%. Over
the US Small Cap universe, the Relative Value model had the
strongest one-month decile return spread performance, returning
6.60%. On the 12-month basis, the GARP model performed best at
31.10% while the performance of the Earnings Momentum model
continued to lag.
Developed Europe: Over the Developed Europe
universe, the Price Momentum model returned 1.65% on a one-month
decile return spread basis. On a 12-month basis, the Relative Value
model performed the best, at 24.80% cumulative.
Developed Pacific: The models struggled over
the Developed Pacific universe during this month. The Price
Momentum model had the strongest one-month decile return spread
performance, returning 2.58%. The Price Momentum model led the
performance over the recent one year as well, delivering
30.54%.
Emerging Markets: Within the Emerging Markets
universe, the performance of the models was mixed. The Relative
Value model was the top performing model returning 2.37%.The Price
Momentum model led over the one-year period, with returns at
22.46%.
Sector Rotation: The US Large Cap Sector
Rotation model returned 2.10%. The Tech sector had a favorable
ranking and the non-cyclicals sector had an unfavorable ranking.
The US Small Cap Sector Rotation model earned a return of 3.10%.
The non-cyclicals sector had a favorable ranking and the Energy
sector had an unfavorable ranking. The Developed Europe Sector
Rotation model returned 1.20%. The Telecom sector had a favorable
ranking and the Energy sector had an unfavorable ranking.
Specialty Models: The Semiconductor model's
one-year cumulative performance was the highest at 33.53% while the
REIT 2 model's performance was the lowest at 8.89%. Within the
specialty model library, the Insurance and the Semiconductor models
had the strongest one month quintile return spread performance
returning 5.73% and 4.95%, respectively, while the Bank and Thrift
2 and the Oil and Gas models saw weaker returns.
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.
