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NOT LIVE
ARTICLES & REPORTSFeb 08, 2024
January 2024 Model Performance Report
US: Within the US Large Cap universe, most
models performed well. The Earnings Momentum model had the
strongest one month decile return spread performance, returning
8.46%. Over the US Small Cap universe, the Value Momentum 2 model
had the strongest one month decile return spread performance,
returning 6.88%. On the 12-month basis, the Value Momentum 2 model
performed best at 42.85% while the performance of the Earnings
Momentum model continued to lag.
Developed Europe: Over the Developed Europe
universe, our Relative Value model returned 7.02% on a one month
decile return spread basis. On a 12-month basis, the Relative Value
model performed the best, at 28.99% cumulative.
Developed Pacific: Over the Developed Pacific
universe, all models performed well. The Price Momentum model had
the strongest one month decile return spread performance, returning
10.89%. The Price Momentum model led the performance over the
recent one year, delivering 31.64%.
Emerging Markets: Within the Emerging Markets
universe, the Price Momentum model returned 6.99% on one month
quintile return spread basis. The Price Momentum model led over the
one-year period, with returns at 20.43%.
Sector Rotation: The US Large Cap Sector
Rotation model returned -1.60%.The Cyclicals sector had a favorable
ranking and the Telecom sector had an unfavorable ranking. The US
Small Cap Sector Rotation model earned a return of 0.70%. The
Non-Cyclicals sector had a favorable ranking and the Financials
sector had an unfavorable ranking. The Developed Europe Sector
Rotation model struggled during the month. The Financials sector
had a favorable ranking and the Cyclicals sector had an unfavorable
ranking.
Specialty Models: The Retail model's one year
cumulative performance was the highest at 46.05% while the REIT 2
model's performance was the lowest at 1.51%. Within the specialty
model library the Retail and the Insurance models had the strongest
one month quintile return spread performance returning 6.54% and
5.55%, respectively, while the Bank and Thrift 2 and the REIT 2
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.