June 2022 Model Performance Report

Research Signals - June 2022

• US: Our models over the US Large Cap universe struggled during the month. Most models had a negative performance, with the Price Momentum model being flat. Over the US Small Cap universe, the Small Cap model had the strongest one month decile return spread performance, returning 4.26%.
• Developed Europe: The models performed well over the Developed Europe universe, our Value Momentum model was the best performing model with one month quintile return spread performance of 4.44%.
• Developed Pacific: Over the Developed Pacific universe, the Relative Value model had the strongest one month decile return spread performance, returning 9.00%, while the Earnings Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 39.54%.
• Emerging Markets: The Price Momentum model had the strongest one month quintile return spread performance, returning 2.16%. The Value Momentum model's one year cumulative performance is still the highest for the EM universe at 35.56%.
• Sector Rotation: The US Large Cap Sector Rotation model returned -2.20%. The Healthcare sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 3.00%. The Energy sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 1.40%. The Non-Cyclicals sector had a favorable ranking and the Financials sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Retail and the Insurance models had the strongest one month quintile return spread performance returning 6.31% and 3.55%, respectively, while the REIT 2 and the Semiconductor models struggled. The Technology model's one year cumulative performance is the highest at 38.87% while the Oil and Gas model's performance is the lowest at 16.49%.

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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.