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ARTICLES & REPORTSFeb 13, 2025
January 2025 Model Performance Report
13 February 2025
Alpha signals
January 2025 Model Performance Report
US: Within the US Large Cap universe, most
models performed well. The Value Momentum 2 model had the strongest
one-month decile return spread performance, returning 2.72%. Over
the US Small Cap universe, the Value Momentum 2 model had the
strongest one-month decile return spread performance, returning
5.83%. On the 12-month basis, the Deep Value model performed best
at 28.28% while the performance of the Earnings Momentum model
continued to lag.
Developed Europe: Over the Developed Europe
universe, the Value Momentum model returned 2.79% on a one-month
decile return spread basis. On a 12-month basis, the Value Momentum
model performed the best, at 27.43% cumulative.
Developed Pacific: The models struggled over
the Developed Pacific universe during this month. On the 12-month
basis, the Deep Value model performed best at 27.66% while the
performance of the Price Momentum model continued to lag.
Emerging Markets: Within the Emerging Markets
universe, the Value Momentum model returned 9.84% on one month
quintile return spread basis. The Price Momentum model led over the
one-year period, with returns at 15.93%.
Sector Rotation: The US Large Cap Sector
Rotation model returned -1.30%. 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
4.10%. The Healthcare sector had a favorable ranking and the Basic
Materials sector had an unfavorable ranking. The Developed Europe
Sector Rotation model struggled during the month. The Utilities
sector had a favorable ranking and the Tech sector had an
unfavorable ranking.
Specialty Models: The Retail model's one-year
cumulative performance was the highest at 32.62% while the Oil and
Gas model's performance was the lowest at 5.35%. Within the
specialty model library, the Semiconductor and the Bank and Thrift
2 models had the strongest one-month quintile return spread
performance returning 2.33% and 1.49%, respectively, while the
Insurance and the REIT 2 models saw weaker returns.
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.
13 February 2025