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Last Published 10/16/2024 12:08:13 PM By Tridion Admin
ARTICLES & REPORTSOct 16, 2024
September 2024 Model Performance Report
US: The models over the US Large Cap universe
struggled during the month. Many models had a negative performance.
Over the US Small Cap universe, the Small Cap model had the
strongest one month decile return spread performance, returning
2.56%. On the 12-month basis, the Price Momentum model performed
best at 21.34% while the performance of the Earnings Momentum model
continued to lag.
Developed Europe: Over the Developed Europe
universe, the Deep Value model returned -1.30% on a one month
decile return spread basis. On a 12-month basis, the Relative Value
model performed the best, at 18.11% cumulative.
Developed Pacific: The models exhibited
variability across the Developed Pacific Universe. The Deep Value
model had the strongest one month decile return spread performance,
returning 4.62%. The Deep Value model led the performance over the
recent one year as well, delivering 21.05%.
Emerging Markets: Within the Emerging Markets
universe, the Value Momentum model returned 4.28% on one month
quintile return spread basis. The Price Momentum model led over the
one-year period, with returns at 22.62%.
Sector Rotation: The US Large Cap Sector
Rotation model returned 3.10%. The Telecom sector had a favorable
ranking and the Financials sector had an unfavorable ranking. The
US Small Cap Sector Rotation model earned a return of 1.40%. The
Non-Cyclicals sector had a favorable ranking and the Energy sector
had an unfavorable ranking. The Developed Europe Sector Rotation
model returned 1.70%. The Telecom sector had a favorable ranking
and the Energy sector had an unfavorable ranking.
Specialty Models: The Semiconductor model's
one year cumulative performance was the highest at 28.81% while the
Oil and Gas model's performance was the lowest at 5.22%. Within the
specialty model library, the Insurance and the Bank and Thrift 2
models had the strongest one month quintile return spread
performance returning 4.48% and 0.51%, respectively, while the
Retail and the Oil and Gas models saw weaker returns.
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.
