April 2020 Model Performance Report

Research Signals - April 2020

• US: Within the US Large Cap universe the Price Momentum model had the strongest one month decile return spread performance, returning 5.41%, while the Earnings Momentum model lagged. Over the US Small Cap universe our Value Momentum 2 model had the strongest one month decile return spread performance, returning 1.66%, while the Deep Value model lagged. The performance of the Value Momentum 2 model was driven by the performance of the long portfolio.
• Developed Europe: Within the Developed Europe universe our Price Momentum model was the top performer on a one month decile return spread basis, returning 6.27%, while the Value Momentum model trailed.
• Developed Pacific: Over the Developed Pacific universe, the Relative Value model had the strongest one month decile return spread performance, returning 1.72%, while the Earnings Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 9.32%.
• Emerging Markets: Within the Emerging Markets universe our Relative Value model had the strongest one month decile return spread performance, returning 1.70%, while the Deep Value model lagged. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 17.43%.
• Sector Rotation: The US Large Cap Sector Rotation model returned -4.50%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking.The US Small Cap Sector Rotation model struggled returning -11.90%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking.The Developed Europe Sector Rotation model returned 4.50%. The Healthcare sector had a favorable ranking and the Energy sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Bank and Thrift 2 and the Insurance models had the strongest one month decile return spread performance returning 12.43% and 8.61%, respectively, while the Semiconductor and the Retail models struggled. The Insurance model's one year cumulative performance is the highest at 20.51% while the Retail model's performance is the lowest at -6.28%.

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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.