September 2020 Model Performance Report

Research Signals - September 2020

• US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance, returning 4.37%, while the Price Momentum model lagged. Over the US Small Cap universe, our Historical Growth model had the strongest one month decile return spread performance, returning 6.79%, while the Deep Value model was the only one that was negative.
• Developed Europe: The models over the Developed Europe universe performed well during the month. On a one month decile return spread basis, our Price Momentum model returned 5.73%, 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 2.17%, while the Deep Value model lagged. The Price Momentum model's one year cumulative performance is currently 10.85%.
• Emerging Markets: Within the Emerging Markets universe, our Price Momentum model returned 2.60% on one month decile return spread basis, while the Value Momentum model lagged the most. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 13.45%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 4.10%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model returned 1.20%. The Non-Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 3.30%. The Tech sector had a favorable ranking and the Energy sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Insurance model had the strongest one month quintile return spread performance returning 2.99%, while the Retail and the Oil and Gas models lagged. The Insurance model's one year cumulative performance is the highest at 29.74% while the Technology model's performance is the lowest at -32.28%.

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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.