Research Signals - July 2022

• US: Model performance was weak across the board for the US Large Cap universe, with the Historical Growth model earning highest returns at 3.85%. The Value Momentum 2 model performed the worst, while the rest of the models also saw negative returns. The models overall performed well over the US Small Cap universe, our Historical Growth model was the best performing model with one month quintile return spread performance of 5.57%.
• Developed Europe: The models over the Developed Europe universe struggled during the month.
• Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 5.12%, while the Relative Value model lagged. The Value Momentum model's one year cumulative performance is currently 27.85%.
• Emerging Markets: The Price Momentum model had the strongest one month quintile return spread performance, returning 2.43%. The Price Momentum model's one year cumulative performance is still the highest for the EM universe at 30.26%.
• Sector Rotation: The US Large Cap Sector Rotation model returned -2.70%. The Healthcare sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -2.00%. The Energy sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Healthcare sector had a favorable ranking and the Financials sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Bank and Thrift 2 had the strongest one month decile return spread performance returning 2.89% while the Semiconductor model lagged. The Retail model's one year cumulative performance is the highest at 35.15% while the Bank and Thrift 2 model's performance is the lowest at 1.6%.

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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.