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EQUITIES COMMENTARY
Feb 08, 2021
January 2021 Model Performance Report
Research Signals - January 2021
- US: Within the US Large Cap universe the Value Momentum 2 model had the strongest one month decile return spread performance, returning 4.75%, while the Historical Growth model lagged. Over the US Small Cap universe, our Price Momentum model had the strongest one month decile return spread performance, returning 12.91%, while the Relative Value model lagged.
- Developed Europe: Over the Developed Europe universe, our Value Momentum model returned 2.59% on a one month decile return spread basis.
- Developed Pacific: Over the Developed Pacific universe, the Value Momentum model had the strongest one month decile return spread performance, returning 3.00%, while the Price Momentum model lagged. The Earnings Momentum model's one year cumulative performance is currently 3.59%.
- Emerging Markets: Within the Emerging Markets universe, our Earnings Momentum model returned 2.09% on one month decile return spread basis, while Value Momentum lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 8.21%.
- Sector Rotation: The US Large Cap Sector Rotation model returned -2.00%. The Tech sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -1.20%. The Industrials sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking.
- Specialty Models: Within our specialty model library the Retail and the Oil and Gas models had the strongest one month quintile return spread performance returning 8.94% and 2.29%, respectively, while the Technology and the REIT 2 models struggled. The Insurance model's one year cumulative performance is the highest at 27.78% while the Technology model's performance is the lowest at -38.35%.
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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