ARTICLES & REPORTS
Jul 14, 2023
June 2023 Model Performance Report
- US: Within the US Large Cap universe, most
models performed well. The Value Momentum model had the strongest
one month decile return spread performance, returning 1.62%. The US
Large Cap Sector Rotation model returned 4.50%.The Industrials
sector had a favorable ranking and the Telecom sector had an
unfavorable ranking.Over the US Small Cap universe, the Relative
Value model had the strongest one month decile return spread
performance, returning 3.64%. On the 12-month basis, the GARP model
performs best at 35.62% while the performance of the Earnings
Momentum model continues to lag. The US Small Cap Sector Rotation
model struggled earned a return of -3.00%. The Utilities sector had
a favorable ranking and the Telecom sector had an unfavorable
ranking.
- Developed Europe: Most models performed well
over the Developed Europe universe, the Earnings Momentum model was
the best performing model with one month decile return spread
performance of 9.03%. On a 12-month basis, the Deep Value model
performs best, at 18.95% cumulative. The Developed Europe Sector
Rotation model returned 1.00%. The Cyclicals sector had a favorable
ranking and the Energy sector had an unfavorable ranking.
- Developed Pacific: Over the Developed Pacific
universe, all models performed well. The Deep Value model had the
strongest one month decile return spread performance, returning
4.99%. The Price Momentum model leads performance over the recent
one year, delivering 20.06%.
- Emerging Markets: The Price Momentum model had
the strongest one month quintile return spread performance,
returning 2.81%. The Value Momentum model continues to lead over
the one-year period, with returns at 18.51%.
- Sector Rotation: The US Large Cap Sector
Rotation model returned 4.50%.The Industrials sector had a
favorable ranking and the Telecom sector had an unfavorable
ranking.The US Small Cap Sector Rotation model struggled earned a
return of -3.00%. The Utilities sector had a favorable ranking and
the Telecom sector had an unfavorable ranking.The Developed Europe
Sector Rotation model returned 1.00%. The Cyclicals sector had a
favorable ranking and the Energy sector had an unfavorable
ranking.
- Specialty Models: Within our specialty model
library the Technology and the REIT 2 models had the strongest one
month quintile return spread performance returning 4.81% and 2.40%,
respectively, while the Semiconductor and the Retail models
struggled. The Retail model's one year cumulative performance is
the highest at 39.67% while the REIT 2 model's performance is the
lowest at -6.36%.
Contact: MK-ResearchSignals@ihsmarkit.com
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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.
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