November 2023 Model Performance Report

1. US: Model performance varied across the board for the US Large Cap universe, where the Price Momentum model produced the highest returns at 5.50%. The Deep 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 6.16%. On the 12-month basis, the Value Momentum 2 model performed best at 38.25% while the performance of the Earnings Momentum model continued to lag.
2. Developed Europe: The models over the Developed Europe universe struggled during the month. On a 12-month basis, the Deep Value model performed the best, at 27.23% cumulative.
3. Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 3.31%, while the Deep Value model lagged. The Value Momentum model led the performance over the recent one year, delivering 24.03%.
4. Emerging Markets: The Value Momentum model had the strongest one month quintile return spread performance, returning 1.01%. The Value Momentum model continued to lead over the one-year period, with returns at 15.47%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned 1.60%.The Cyclicals sector had a favorable ranking and the Financials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled earned a return of -1.90%. The Non-Cyclicals sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Financials sector had a favorable ranking and the Healthcare sector had an unfavorable ranking.
6. Specialty Models: The Retail model's one year cumulative performance was the highest at 45.52% while the REIT 2 model's performance was the lowest at -5.49%. Within the specialty model library the Retail and the Bank and Thrift 2 models had the strongest one month quintile return spread performance returning 2.89% and 0.18%, respectively, while the Insurance and the Oil and Gas models struggled.

READ THE REPORT

Contact: AlphaSignals@spglobal.com

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.