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EQUITIES COMMENTARY
Aug 05, 2020
July 2020 Model Performance Report
Research Signals - July 2020
- US: Within the US Large Cap universe the Earnings Momentum model had the strongest one month decile return spread performance, returning 7.56%, while the Deep Value model lagged. Over the US Small Cap universe our GARP model had the strongest one month decile return spread performance, returning 6.58%, while the Deep Value model lagged. The performance of the GARP model was driven by the performance of the short portfolio.
- Developed Europe: Within the Developed Europe universe our Price Momentum model was the top performer on a one month decile return spread basis, returning 6.24%, while the Deep Value model trailed.
- Developed Pacific: Over the Developed Pacific universe, the Earnings Momentum model had the strongest one month decile return spread performance, returning 9.52%, while the Value Momentum model lagged. The Earnings Momentum model's one year cumulative performance is currently 14.80%.
- Emerging Markets: Within the Emerging Markets universe our Earnings Momentum model had the strongest one month decile return spread performance, returning 4.20%, while the Deep Value model lagged. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 15.30%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 3.10%.The Tech sector had a favorable ranking and the Industrials sector had an unfavorable ranking. The US Small Cap Sector Rotation model returned 0.10%. The Tech sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 3.60%. The Healthcare sector had a favorable ranking and the Telecom sector had a unfavorable ranking.
- Specialty Models: Within our specialty model library the REIT 2 and the Retail models had the strongest one month quintile return spread performance returning 4.43% and 3.51%, respectively, while the Technology and the Oil and Gas models struggled. The Insurance model's one year cumulative performance is the highest at 33.35% while the Technology model's performance is the lowest at -15.78%.
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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