September 2022 Model Performance Report

Research Signals - September 2022

• US: Within the US Large Cap universe, almost all models performed well. The Value Momentum 2 model had the strongest one month decile return spread performance, returning 2.25%.Over the US Small Cap universe, almost all of our models had positive performance. The Relative Value model had the strongest one month decile return spread performance, returning 8.02%.
• Developed Europe: The models performed well over the Developed Europe universe, our Earnings Momentum model was the best performing model with one month decile return spread performance of 3.47%.
• Developed Pacific: Over the Developed Pacific universe, all models performed well. The Value Momentum model had the strongest one month decile return spread performance, returning 7.34%. The Value Momentum model's one year cumulative performance is currently 33.33%.
• Emerging Markets: The Price Momentum model had the strongest one month quintile return spread performance, returning 5.37%. The Price Momentum model's one year cumulative performance is still the highest for the EM universe at 25.15%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 2.30%. The Healthcare sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 2.50%. The Healthcare sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 1.20%. The Energy sector had a favorable ranking and the Financials sector had an unfavorable ranking.
• Specialty Models: Our specialty model library performed well. The Insurance model had the strongest one month quintile return spread performance returning 9.88%. The Retail model's one year cumulative performance is the highest at 34.32% while the REIT 2 model's performance is the lowest at 1.11%.

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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.