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EQUITIES COMMENTARY
Nov 06, 2020
October 2020 Model Performance Report
Research Signals - October 2020
- US: Our models over the US Large Cap universe struggled during the month. Over the US Small Cap universe, our Deep Value model had the strongest one month decile return spread performance, returning 8.32%, while the Price Momentum model was the only one that was negative.
- Developed Europe: Over the Developed Europe universe, our Price Momentum model returned 1.49% on a one month decile return spread basis, while the Deep Value model trailed.
- Developed Pacific: Over the Developed Pacific universe, the Relative Value model had the strongest one month decile return spread performance, returning 1.78%, while the Price Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 10.04%.
- Emerging Markets: Within the Emerging Markets universe, our Earnings Momentum model returned 1.58% on one month decile return spread basis. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 13.41%.
- Sector Rotation: The US Large Cap Sector Rotation model returned -1.90%.The Cyclicals sector had a favorable ranking and the Utilities sector had an unfavorable ranking.The US Small Cap Sector Rotation model returned 1.30%. The Cyclicals sector had a favorable ranking and the Utilities sector had an unfavorable ranking.The Developed Europe Sector Rotation model struggled during the month.The Utilities sector had a favorable ranking and the Energy sector had an unfavorable ranking.
- Specialty Models: Within our specialty model library the Insurance model was flat, returning 0.00% for the month,while the Bank and Thrift 2 and the Retail models lagged. The Insurance model's one year cumulative performance is the highest at 23.33% while the Technology model's performance is the lowest at -34.16%.
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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