Research Signals - March 2021

• US: Within the US Large Cap universe the Deep Value model had the strongest one month decile return spread performance, returning 13.56%, while the Price Momentum model lagged. Over the US Small Cap universe, our Deep Value model had the strongest one month decile return spread performance, returning 10.89%, while the Price Momentum model lagged.
• Developed Europe: Over the Developed Europe universe, our Deep Value model returned 6.35% on a one month decile return spread basis, while Price Momentum lagged.
• Developed Pacific: Over the Developed Pacific universe, the Value Momentum model had the strongest one month decile return spread performance, returning 9.26%, while the Price Momentum model lagged. The Relative Value model's one year cumulative performance is currently 7.91%.
• Emerging Markets: Within the Emerging Markets universe, our Value Momentum model returned 2.79% on one month quintile return spread basis, while Price Momentum lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 7.56%.
• Sector Rotation: The US Large Cap Sector Rotation model returned -2.50%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -0.60%. The Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Financials sector had a favorable ranking and the Telecom sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Technology model had the strongest one month quintile return spread performance returning 14.35%, while the Bank and Thrift 2 and the Semiconductor models struggled. The Insurance model's one year cumulative performance is the highest at 21.25% while the Retail model's performance is the lowest at -28.89%.

Download full article

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.