Customer Logins
Obtain the data you need to make the most informed decisions by accessing our extensive portfolio of information, analytics, and expertise. Sign in to the product or service center of your choice.
Customer Logins
EQUITIES COMMENTARY
Dec 07, 2021
November 2021 Model Performance Report
Research Signals - November 2021
- US: Within the US Large Cap universe the Deep Value model had the strongest one month decile return spread performance, returning 8.67%, 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 12.19%, while the Price Momentum model lagged.
- Developed Europe: Over the Developed Europe universe, our Deep Value model returned 4.79% on a one month decile return spread basis, while Earnings Momentum lagged.
- Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 2.12%, while the Relative Value model lagged. The Value Momentum model's one year cumulative performance is currently 18.98%.
- Emerging Markets: Within the Emerging Markets universe our models struggled. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 12.70%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 1.90%. The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 3.70%. The Industrials sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Healthcare sector had a favorable ranking and the Utilities sector had an unfavorable ranking.
- Specialty Models: Within our specialty model library the Insurance model had the strongest one month quintile return spread performance returning 7.76%, while the Bank and Thrift 2 model struggled. The Insurance model's one year cumulative performance is the highest at 25.1% while the Bank and Thrift 2 model's performance is the lowest at 2.44%.
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.
{"items" : [
{"name":"share","enabled":true,"desc":"<strong>Share</strong>","mobdesc":"Share","options":[ {"name":"facebook","url":"https://www.facebook.com/sharer.php?u=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2fnovember-2021-model-performance-report.html","enabled":true},{"name":"twitter","url":"https://twitter.com/intent/tweet?url=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2fnovember-2021-model-performance-report.html&text=November+2021+Model+Performance+Report+%7c+S%26P+Global+","enabled":true},{"name":"linkedin","url":"https://www.linkedin.com/sharing/share-offsite/?url=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2fnovember-2021-model-performance-report.html","enabled":true},{"name":"email","url":"?subject=November 2021 Model Performance Report | S&P Global &body=http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2fnovember-2021-model-performance-report.html","enabled":true},{"name":"whatsapp","url":"https://api.whatsapp.com/send?text=November+2021+Model+Performance+Report+%7c+S%26P+Global+ http%3a%2f%2fstage.www.spglobal.com%2fmarketintelligence%2fen%2fmi%2fresearch-analysis%2fnovember-2021-model-performance-report.html","enabled":true}]}, {"name":"rtt","enabled":true,"mobdesc":"Top"}
]}