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ARTICLES & REPORTSAug 10, 2023
July 2023 Model Performance Report
US: Model performance varied across the board
for the US Large Cap universe, where the Deep Value model produced
the highest returns at 2.14%. The Earnings Momentum model performed
the worst. The US Large Cap Sector Rotation model returned
4.10%.The Tech sector had a favorable ranking and the Telecom
sector had an unfavorable ranking.Over the US Small Cap universe,
the Deep Value model had the strongest one month decile return
spread performance, returning 5.19%. On the 12-month basis, the
GARP model performed best at 25.82% while the performance of the
Earnings Momentum model continued to lag. The US Small Cap Sector
Rotation model earned a return of 0.90%. The Non-Cyclicals sector
had a favorable ranking and the Financials sector had an
unfavorable ranking.
Developed Europe: Most models performed well
over the Developed Europe universe, the Deep Value model was the
best performing model with one month decile return spread
performance of 4.63%. On a 12-month basis, the Deep Value model
performed the best, at 28.13% cumulative. The Developed Europe
Sector Rotation model struggled during the month. The Cyclicals
sector had a favorable ranking and the Healthcare sector had an
unfavorable ranking.
Developed Pacific: Over the Developed Pacific
universe, the Deep Value model had the strongest one month decile
return spread performance, returning 0.39%, while the Earnings
Momentum model lagged. The Value Momentum model led the performance
over the recent one year, delivering 22.04%.
Emerging Markets: The Deep Value model had the
strongest one month quintile return spread performance, returning
4.93%. The Value Momentum model continued to lead over the one-year
period, with returns at 24.84%.
Sector Rotation: The US Large Cap Sector
Rotation model returned 4.10%.The Tech sector had a favorable
ranking and the Telecom sector had an unfavorable ranking.The US
Small Cap Sector Rotation model earned a return of 0.90%. 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 Cyclicals sector had
a favorable ranking and the Healthcare sector had an unfavorable
ranking.
Specialty Models: The Retail model's one year
cumulative performance was the highest at 41.46% while the REIT 2
model's performance was the lowest at -5.45%. Within the specialty
model library the Semiconductor and the Oil and Gas models had the
strongest one month quintile return spread performance returning
2.84% and -1.38%, respectively, while the Insurance and the Bank
and Thrift 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.
