April 2024 Model Performance Report

1. US: Within the US Large Cap universe, most models performed well. The Price Momentum model had the strongest one month decile return spread performance, returning 2.04%. Over the US Small Cap universe, the Deep Value model had the strongest one month decile return spread performance, returning 7.45%. On the 12-month basis, the Value Momentum 2 model performed best at 35.75% while the performance of the Earnings Momentum model continued to lag.
2. Developed Europe: Over the Developed Europe universe, the Deep Value model returned 9.01% on a one month decile return spread basis. On a 12-month basis, the Deep Value model performed the best, at 36.79% cumulative.
3. Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 9.17%, while the Earnings Momentum model lagged. The Value Momentum model led the performance over the recent one year, delivering 28.39%.The models struggled over the Developed Pacific universe during this month.
4. Emerging Markets: Within the Emerging Markets universe, the Price Momentum model returned 1.31% on one month quintile return spread basis. The Price Momentum model led over the one-year period, with returns at 18.90%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned 0.20%.The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled earned a return of -2.20%. The Tech sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Industrials sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking.
6. Specialty Models: The Retail model's one year cumulative performance was the highest at 33.15% while the Technology model's performance was the lowest at 2.35%. Within the specialty model library the Semiconductor and the Oil and Gas models had the strongest one month quintile return spread performance returning 4.13% and 3.13%, respectively, while the Technology and the Retail models struggled.

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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.