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EQUITIES COMMENTARY
Dec 07, 2020
November 2020 Model Performance Report
Research Signals - November 2020
- US: Within the US Large Cap universe the Price Momentum model had the strongest one month decile return spread performance, returning 3.13%, while the Historical Growth model lagged. Over the US Small Cap universe, the Price Momentum model also had the strongest one month decile return spread performance, returning 5.52%, while the Historical Growth model lagged.
- Developed Europe: Over the Developed Europe universe, our Deep Value model returned 8.08% on a one month decile return spread basis, while the Price Momentum model trailed.
- Developed Pacific: Our models struggled over the Developed Pacific universe during the month. The Price Momentum model's one year cumulative performance is currently 7.03%.
- Emerging Markets: Within the Emerging Markets universe, our Value Momentum model returned 3.95% on one month decile return spread basis, while Earnings Momentum lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 7.47%.
- Sector Rotation: The US Large Cap Sector Rotation model returned -1.80%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model returned 1.60%. The Non-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 Industrials sector had a favorable ranking and the Energy sector had an unfavorable ranking.
- Specialty Models: Within our specialty model library the Insurance and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 5.19% and 2.57%, respectively, while the REIT 2 and the Retail models struggled. The Insurance model's one year cumulative performance is the highest at 21.95% while the Technology model's performance is the lowest at -38.35%.
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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