August 2022 Model Performance Report

Research Signals - August 2022

• US: Model performance varies across the board for the US Large Cap universe, with the Price Momentum model earning the highest returns at 2.62%. The Relative Value model performed the worst. Over the US Small Cap universe, the Price Momentum model had the strongest one month decile return spread performance, returning 3.05%.
• Developed Europe: The models performed well over the Developed Europe universe, our Price Momentum model was the best performing model with one month quintile return spread performance of 9.11%.
• Developed Pacific: Over the Developed Pacific universe, the Earnings Momentum model had the strongest one month decile return spread performance, returning 1.35%, while the Relative Value model lagged. The Value Momentum model's one year cumulative performance is currently 29.51%.
• Emerging Markets: The Earnings Momentum model had the strongest one month quintile return spread performance, returning 2.36%. The Price Momentum model's one year cumulative performance is still the highest for the EM universe at 22.78%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 0.90%. The Energy sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 2.90%. The Energy sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Telecom sector had a favorable ranking and the Financials sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Bank and Thrift 2 had the strongest one month decile return spread performance returning 2.89% while the Technology model lagged. The Technology model's one year cumulative performance is the highest at 30.87% while the REIT 2 model's performance is the lowest at 1.37%.

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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.