November 2020 Model Performance Report

Research Signals - November 2020

• US: Within the US Large Cap universe the Price Momentum model had the strongest one month decile return spread performance, returning 3.13%, while the Historical Growth model lagged. Over the US Small Cap universe, the Price Momentum model also had the strongest one month decile return spread performance, returning 5.52%, while the Historical Growth model lagged.
• Developed Europe: Over the Developed Europe universe, our Deep Value model returned 8.08% on a one month decile return spread basis, while the Price Momentum model trailed.
• Developed Pacific: Our models struggled over the Developed Pacific universe during the month. The Price Momentum model's one year cumulative performance is currently 7.03%.
• Emerging Markets: Within the Emerging Markets universe, our Value Momentum model returned 3.95% on one month decile return spread basis, while Earnings Momentum lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 7.47%.
• Sector Rotation: The US Large Cap Sector Rotation model returned -1.80%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model returned 1.60%. The Non-Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Industrials sector had a favorable ranking and the Energy sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Insurance and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 5.19% and 2.57%, respectively, while the REIT 2 and the Retail models struggled. The Insurance model's one year cumulative performance is the highest at 21.95% while the Technology model's performance is the lowest at -38.35%.

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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.