U.S. Stock Selection Model Performance Review: 2017

Starting with the U.S. election in November 2016, the S&P 500^® Index has registered 14 consecutive months of positive total returns. Only once has the S&P 500 had a longer run of positive returns, and that was in May of 1959 when the index notched a 15-month streak. Given this market environment, the fact that trend following strategies registered strong results in 2017 should be no surprise.

Analysts are very astute at identifying trends. Strategies based on analyst revisions were the strongest strategy category in 2017. As analyst and price momentum strategies put up strong results, and as market participants became increasingly comfortable with risk, valuation strategies generally lagged. Strategy performance in 2017 is essentially the mirror opposite of 2016.

In this report, we review the performance of S&P Global Market Intelligence’s U.S. stock selection models in 2017. All four of our strategy models returned positive long-only excess returns in 2017, but the valuation model was the only model to produce a negative long-short return over the time period. The price momentum and growth models notched solid monthly spreads of 49 and 40 basis points, respectively.