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NOT LIVE
ARTICLES & REPORTSJun 12, 2023
May 2023 Model Performance Report
US: Model performance varies across the board
for the US Large Cap universe, with the Earnings Momentum model
producing highest returns at 1.55%. The Deep Value model performed
the worst. The US Large Cap Sector Rotation model returned
4.80%.The Industrials sector had a favorable ranking and the
Financials sector had an unfavorable ranking.Over the US Small Cap
universe, the Price Momentum model had the strongest one month
decile return spread performance, returning 5.04%. On the 12-month
basis, the GARP model performs best at 29.32% while the performance
of the Earnings Momentum model continues to lag. The US Small Cap
Sector Rotation model earned a return of 1.90%. The Utilities
sector had a favorable ranking and the Telecom sector had an
unfavorable ranking.
Developed Europe: Over the Developed Europe
universe, our Earnings Momentum model returned 4.11% on a one month
decile return spread basis, while Relative Value lagged. On a
12-month basis, the Deep Value model performs best, at 16.23%
cumulative.The Developed Europe Sector Rotation model returned
4.00%. The Cyclicals sector had a favorable ranking and the
Utilities sector had an unfavorable ranking.
Developed Pacific: Over the Developed Pacific
universe, the Relative Value model had the strongest one month
decile return spread performance, returning 0.58%, while the Price
Momentum model lagged. The Value Momentum model leads performance
over the recent one year, delivering 20.94%.
Emerging Markets: Within the Emerging Markets
universe our models struggled. The Value Momentum model continues
to lead over the one-year period, with returns at 15.37%.
Sector Rotation: The US Large Cap Sector
Rotation model returned 4.80%.The Industrials sector had a
favorable ranking and the Financials sector had an unfavorable
ranking.The US Small Cap Sector Rotation model earned a return of
1.90%. The Utilities sector had a favorable ranking and the Telecom
sector had an unfavorable ranking.The Developed Europe Sector
Rotation model returned 4.00%. The Cyclicals sector had a favorable
ranking and the Utilities sector had an unfavorable ranking..
Specialty Models: Within our specialty model
library the Retail and the Insurance models had the strongest one
month quintile return spread performance returning 6.92% and 5.30%,
respectively, while the Bank and Thrift 2 and the Technology models
struggled. The Retail model's one year cumulative performance is
the highest at 46.43% while the REIT 2 model's performance is the
lowest at -8.74%.
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.
