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EQUITIES COMMENTARY
Mar 04, 2021
February 2021 Model Performance Report
Research Signals - February 2021
- US: Within the US Large Cap universe the Value Momentum 2 model had the strongest one month decile return spread performance, returning 1.56%, while the Historical Growth model lagged. Over the US Small Cap universe, our Value Momentum 2 model had the strongest one month decile return spread performance, returning 4.16%, while the Historical Growth model lagged.
- Developed Europe: The models over the Developed Europe universe struggled during the month.
- Developed Pacific: Over the Developed Pacific universe, the Value Momentum model had the strongest one month decile return spread performance, returning 7.23%, while the Price Momentum model lagged. The Earnings Momentum model's one year cumulative performance is currently 1.23%.
- Emerging Markets: Within the Emerging Markets universe, our Earnings Momentum model returned 1.71% on one month decile return spread basis, while Relative Value lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 7.49%.
- Sector Rotation: The US Large Cap Sector Rotation model returned -1.90%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -2.50%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 2.90%. The Financials sector had a favorable ranking and the Telecom sector had a unfavorable ranking.
- Specialty Models: Within our specialty model library the Technology model had the strongest one month quintile return spread performance returning 0.93%, while the Retail and the Insurance models struggled. The Insurance model's one year cumulative performance is the highest at 20.85% while the Retail model's performance is the lowest at -32.4%.
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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