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EQUITIES COMMENTARY
Jan 09, 2023
December 2022 Model Performance Report
Research Signals - December 2022
- US: Within the US Large Cap universe, almost all models performed well. The Value Momentum model had the strongest one month decile return spread performance, returning 3.18%. The models overall performed well over the US Small Cap universe, our Relative Value model was the best performing model with one month quintile return spread performance of 9.16%.
- Developed Europe: Most models performed well over the Developed Europe universe, our Earnings Momentum model was the best performing model with one month decile return spread performance of 3.94%.
- Developed Pacific: Over the Developed Pacific universe, the Relative Value model had the strongest one month decile return spread performance, returning 4.50%, while the Price Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 33.84%.
- Emerging Markets: The Value Momentum model had the strongest one month quintile return spread performance, returning 4.54%. The Value Momentum model's one year cumulative performance is still the highest for the EM universe at 34.28%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 1.30%. The Tech sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 2.00%. The Utilities sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Non-Cyclicals sector had a favorable ranking and the Financials sector had an unfavorable ranking.
- Specialty Models: Within our specialty model library the Retail and the Insurance models had the strongest one month quintile return spread performance returning 7.30% and 5.30%, respectively, while the Semiconductor and the Oil and Gas models struggled. The Retail model's one year cumulative performance is the highest at 41.94% while the REIT 2 model's performance is the lowest at 1.3%.
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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