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EQUITIES COMMENTARY
Dec 07, 2022
November 2022 Model Performance Report
Research Signals - November 2022
- US: Within the US Large Cap universe, many of our models performed well. The Relative Value model had the strongest one month decile return spread performance, returning 5.06%. Over the US Small Cap universe, almost all of our models had positive performance. The Relative Value model had the strongest one month decile return spread performance, returning 10.94%.
- Developed Europe: Over the Developed Europe universe, our Deep Value model returned 3.87% on a one month decile return spread basis, while Price Momentum lagged.
- Developed Pacific: Over the Developed Pacific universe, the Value Momentum model had the strongest one month decile return spread performance, returning 4.76%, while the Earnings Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 37.05%.
- Emerging Markets: The Value Momentum model had the strongest one month quintile return spread performance, returning 9.30%. The Value Momentum model's one year cumulative performance is still the highest for the EM universe at 29.88%.
- Sector Rotation: The Sector Rotation model over the US Large Cap universe returned 1.00%. The Tech sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The Sector Rotation model over the US Small Cap universe struggled with a return of -1.20%. The Utilities sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Sector Rotation model over the Developed Europe universe returned 0.50%. The Energy sector had a favorable ranking and the Financials sector had a unfavorable ranking.
- Specialty Models: Within our specialty model library the Semiconductor and the Technology models had the strongest one month quintile return spread performance returning 9.05% and 7.01%, respectively, while the Oil and Gas and the Insurance models struggled. The Technology model's one year cumulative performance is the highest at 43.78% while the REIT 2 model's performance is the lowest at 2.36%.
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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