August 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 2.52%. Over the US Small Cap universe, the Relative Value model had the strongest one-month decile return spread performance, returning 6.60%. On the 12-month basis, the GARP model performed best at 31.10% while the performance of the Earnings Momentum model continued to lag.
2. Developed Europe: Over the Developed Europe universe, the Price Momentum model returned 1.65% on a one-month decile return spread basis. On a 12-month basis, the Relative Value model performed the best, at 24.80% cumulative.
3. Developed Pacific: The models struggled over the Developed Pacific universe during this month. The Price Momentum model had the strongest one-month decile return spread performance, returning 2.58%. The Price Momentum model led the performance over the recent one year as well, delivering 30.54%.
4. Emerging Markets: Within the Emerging Markets universe, the performance of the models was mixed. The Relative Value model was the top performing model returning 2.37%.The Price Momentum model led over the one-year period, with returns at 22.46%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned 2.10%. The Tech sector had a favorable ranking and the non-cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model earned a return of 3.10%. The non-cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 1.20%. The Telecom sector had a favorable ranking and the Energy sector had an unfavorable ranking.
6. Specialty Models: The Semiconductor model's one-year cumulative performance was the highest at 33.53% while the REIT 2 model's performance was the lowest at 8.89%. Within the specialty model library, the Insurance and the Semiconductor models had the strongest one month quintile return spread performance returning 5.73% and 4.95%, respectively, while the Bank and Thrift 2 and the Oil and Gas models saw weaker returns.

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.