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EQUITIES COMMENTARY
Nov 05, 2021
October 2021 Model Performance Report
Research Signals - October 2021
- US: Within the US Large Cap universe, the Historical Growth model had the strongest one month decile return spread performance, returning 2.33%, while the Value Momentum model lagged. Over the US Small Cap universe, our Deep Value model had the strongest one month decile return spread performance, returning 5.37%, while the Earnings Momentum model lagged.
- Developed Europe: Over the Developed Europe universe, our Price Momentum model returned 5.76% on a one month decile return spread basis, while Value Momentum lagged.
- Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 0.75%, while the Earnings Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 18.51%.
- Emerging Markets: Within the Emerging Markets universe, our Value Momentum model returned 1.45% on one month quintile return spread basis, while Price Momentum lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 8.59%.
- Sector Rotation: The US Large Cap Sector Rotation model returned 3.30%. The Industrials sector had a favorable ranking and the Financials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -3.90%. The Telecom 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 model had the strongest one month quintile return spread performance returning 4.77%, while the Technology model struggled. The Insurance model's one year cumulative performance is the highest at 22.53% while the Oil and Gas model's performance is the lowest at -8.9%.
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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