Research Signals - May 2022

• US: Within the US Large Cap universe, all models performed well. The Relative Value model had the strongest one month decile return spread performance, returning 9.93%. Over the US Small Cap universe, almost all of our models had positive performance. The GARP model had the strongest one month decile return spread performance, returning 10.99%.
• Developed Europe: Over the Developed Europe universe, our Deep Value model returned 4.61% on a one month decile return spread basis, while Price Momentum lagged.
• Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 3.78%, while the Price Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 29.81%.
• Emerging Markets: Within the Emerging Markets universe, our Value Momentum model returned 8.06% on one month quintile return spread basis. The rest of the models within the universe had positive returns as well. The Price Momentum model's one year cumulative performance is still the highest for the EM universe at 25.12%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 2.70%. The Energy sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 3.20%. 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 Basic Materials sector had a favorable ranking and the Financials sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Technology and the Oil and Gas models had the strongest one month quintile return spread performance returning 8.22% and 6.72%, respectively, while the Bank and Thrift 2 and the Insurance models struggled. The Semiconductor model's one year cumulative performance is the highest at 30.38% while the Bank and Thrift 2 model's performance is the lowest at 5.43%.

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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.