Alpha Signals Monthly Model Performance Report

Monthly Performance Recap

1. US: Model performance varied across the board for the US Large Cap universe, where the Deep Value model produced the highest returns at 3.51%. The Historical Growth model performed the worst. Over the US Small Cap universe, the Deep Value model had the strongest one month decile return spread performance, returning 10.27%. On the 12-month basis, the Deep Value model performed best at 59.88% while the performance of the Earnings Momentum model continued to lag.
2. Developed Europe: Over the Developed Europe universe, the Deep Value model returned 5.56% on a one month decile return spread basis. On a 12-month basis, the Value Momentum model performed the best, at 33.32% cumulative. 
3. Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 9.18%, while the Price Momentum model lagged. On the 12-month basis, the Deep Value model performed best at 46.02% while the performance of the Price Momentum model continued to lag.
4. Emerging Markets: Within the Emerging Markets universe, the Price Momentum model returned 14.18% on one month quintile return spread basis. The Price Momentum model led over the one-year period, with returns at 18.43%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned -4.10%. The Tech sector had a favorable ranking and the Financials sector had an unfavorable ranking.The US Small Cap Sector Rotation model and earned a return of 0.70%. The Non-Cyclicals sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking.The Developed Europe Sector Rotation model returned 6.10%. The Industrials sector had a favorable ranking and the Energy sector had an unfavorable ranking.
6. Specialty Models: Within the specialty model library, the Semiconductor and the Insurance models had the strongest one month quintile return spread performance returning 9.13% and 5.55%, respectively, while the REIT 2 and the Retail models saw weaker returns. The Semiconductor model's one year cumulative performance was also the highest at 31.64% while the Oil and Gas model's performance was the lowest at 0.52%. 

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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.