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EQUITIES COMMENTARY
Jun 08, 2020
May 2020 Model Performance Report
Research Signals - May 2020
- US: Within the US Large Cap universe the Historical Growth 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 Earnings Momentum model had the strongest one month decile return spread performance, returning 8.92%, while the Deep Value model lagged. The performance of the Earnings Momentum model was driven by the performance of the long 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 3.82%, while the Deep Value model trailed.
- Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 1.62%, while the Value Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 5.04%.
- Emerging Markets: Within the Emerging Markets universe our Price Momentum model had the strongest one month decile return spread performance, returning 0.21%, while the Deep Value model lagged. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 15.12%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 0.70%. The Tech sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The US Small Cap Sector Rotation model performed well, returning 4.50%. The Non-Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 0.90%. The Healthcare sector had a favorable ranking and the Telecom sector had a unfavorable ranking.
- Specialty Models: Within our specialty model library the Oil and Gas and the Insurance models had the strongest one month quintile return spread performance returning 5.03% and 4.29%, respectively, while the Semiconductor and the Technology models struggled. The Insurance model's one year cumulative performance is the highest at 27.58% while the Technology model's performance is the lowest at -12.20%.
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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