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NOT LIVE
ARTICLES & REPORTSOct 25, 2023
September 2023 Model Performance Report
US: Within the US Large Cap universe, most
models performed well. The Deep Value model had the strongest one
month decile return spread performance, returning 5.69%. The US
Large Cap Sector Rotation model returned -4.00%.The Tech sector had
a favorable ranking and the Financials sector had an unfavorable
ranking. Over the US Small Cap universe, the GARP model had the
strongest one month decile return spread performance, returning
9.84%. On the 12-month basis, the GARP model performed best at
45.79% while the performance of the Earnings Momentum model
continued to lag. The US Small Cap Sector Rotation model struggled
earned a return of -2.50%. The Non-Cyclicals sector had a favorable
ranking and the Telecom sector had an unfavorable ranking.
Developed Europe: Most models performed well
over the Developed Europe universe, the Deep Value model was the
best performing model with one month decile return spread
performance of 6.05%. On a 12-month basis, the Deep Value model
performed the best, at 34.73% cumulative. The Developed Europe
Sector Rotation model struggled during the month. The Industrials
sector had a favorable ranking and the Non-Cyclicals sector had an
unfavorable ranking.
Developed Pacific: Over the Developed Pacific
universe, all models performed well. The Deep Value model had the
strongest one month decile return spread performance, returning
9.24%.The Value Momentum model led the performance over the recent
one year, delivering 25.95%.
Emerging Markets: The Deep Value model had the
strongest one month quintile return spread performance, returning
1.79%. The Value Momentum model continued to lead over the one-year
period, with returns at 26.96%.
Sector Rotation: The US Large Cap Sector
Rotation model returned -4.00%.The Tech sector had a favorable
ranking and the Financials sector had an unfavorable ranking. The
US Small Cap Sector Rotation model struggled earned a return of
-2.50%. The Non-Cyclicals sector had a favorable ranking and the
Telecom sector had an unfavorable ranking. The Developed Europe
Sector Rotation model struggled during the month. The Industrials
sector had a favorable ranking and the Non-Cyclicals sector had an
unfavorable ranking.
Specialty Models: The Retail model's one year
cumulative performance was the highest at 45.51% while the REIT 2
model's performance was the lowest at -3.66%. Within the specialty
model library the Insurance and the Technology models had the
strongest one month quintile return spread performance returning
9.44% and 4.80%, respectively, while the Oil and Gas and the REIT 2
models struggled.
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.
