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NOT LIVE
ARTICLES & REPORTSMar 14, 2024
February 2024 Model Performance Report
Alpha signals
February 2024 Model Performance Report
US: Within the US Large Cap universe, most
models performed well. The Historical Growth model had the
strongest one month decile return spread performance, returning
6.66%. Over the US Small Cap universe, the Earnings Momentum model
had the strongest one month decile return spread performance,
returning 8.01%. On the 12-month basis, the Value Momentum 2 model
performed best at 30.14% while the performance of the Deep Value
model continued to lag.
Developed Europe: Over the Developed Europe
universe, our Earnings Momentum model returned 5.55% on a one month
decile return spread basis. On a 12-month basis, the Relative Value
model performed the best, at 27.94% cumulative.
Developed Pacific: Over the Developed Pacific
universe, the Earnings Momentum model had the strongest one month
decile return spread performance, returning 1.25%, while the Price
Momentum model lagged. The Deep Value model led the performance
over the recent one year, delivering 25.33%.The models struggled
over the Developed Pacific universe during the month.
Emerging Markets: Within the Emerging Markets
universe, the Earnings Momentum model returned 1.82% on one month
quintile return spread basis. The Price Momentum model led over the
one-year period, with returns at 19.61%.
Sector Rotation: The US Large Cap Sector
Rotation model returned 1.60%.The Cyclicals sector had a favorable
ranking and the Basic Materials sector had an unfavorable ranking.
The US Small Cap Sector Rotation model earned a return of 2.90%.
The Non-Cyclicals sector had a favorable ranking and the Energy
sector had an unfavorable ranking. The Developed Europe Sector
Rotation model struggled during the month. The Financials sector
had a favorable ranking and the Energy sector had an unfavorable
ranking.
Specialty Models: The Retail model's one year
cumulative performance was the highest at 44.07% while the REIT 2
model's performance was the lowest at 2.45%. Within the specialty
model library the Insurance and the Oil and Gas models had the
strongest one month quintile return spread performance returning
6.96% and 3.55%, respectively, while the Semiconductor and the
Technology models struggled.
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.
