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Last Published 8/16/2024 3:51:07 PM By Tridion Admin
ARTICLES & REPORTSAug 14, 2024
July 2024 Model Performance Report
US: Model performance varied across the board
for the US Large Cap universe, where the GARP model produced the
highest returns at 1.64%. The Historical Growth model performed the
worst. Over the US Small Cap universe, the Earnings Momentum model
had the strongest one-month decile return spread performance,
returning 4.07%. On the 12-month basis, the Value Momentum 2 model
performed best at 41.71% while the performance of the Earnings
Momentum model continued to lag.
Developed Europe: Over the Developed Europe
universe, the Deep Value model returned 1.90% on a one-month decile
return spread basis. On a 12-month basis, the Relative Value model
performed the best, at 30.55% cumulative.
Developed Pacific: Over the Developed Pacific
universe, the Earnings Momentum model had the strongest one-month
decile return spread performance, returning 1.27%, while the
Relative Value model lagged. The Deep Value model led the
performance over the recent one year, delivering 26.6%.The models
struggled over the Developed Pacific universe during this
month.
Emerging Markets: Within the Emerging Markets
universe, the performance of the models was mixed. The Price
Momentum model was the top performing model returning 4.28%.The
Price Momentum model also led over the one-year period, with
returns at 23.89%.
Sector Rotation: The US Large Cap Sector
Rotation model returned -2.80%. The Tech sector had a favorable
ranking and the Basic Materials sector had an unfavorable ranking.
The US Small Cap Sector Rotation model struggled earned a return of
-3.20%. The Tech sector had a favorable ranking and the Energy
sector had an unfavorable ranking. The Developed Europe Sector
Rotation model returned 0.30%. The Telecom sector had a favorable
ranking and the non-cyclicals sector had an unfavorable
ranking.
Specialty Models: The Retail model's one year
cumulative performance was the highest at 37.5% while the REIT 2
model's performance was the lowest at 6.73%. Within the specialty
model library the Semiconductor and the Technology models had the
strongest one month quintile return spread performance returning
9.52% and 5.31%, 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.
