July 2024 Model Performance Report

1. US: Model performance varied across the board for the US Large Cap universe, where the GARP model produced the highest returns at 1.64%. The Historical Growth model performed the worst. Over the US Small Cap universe, the Earnings Momentum model had the strongest one-month decile return spread performance, returning 4.07%. On the 12-month basis, the Value Momentum 2 model performed best at 41.71% while the performance of the Earnings Momentum model continued to lag.
2. Developed Europe: Over the Developed Europe universe, the Deep Value model returned 1.90% on a one-month decile return spread basis. On a 12-month basis, the Relative Value model performed the best, at 30.55% cumulative.
3. Developed Pacific: Over the Developed Pacific universe, the Earnings Momentum model had the strongest one-month decile return spread performance, returning 1.27%, while the Relative Value model lagged. The Deep Value model led the performance over the recent one year, delivering 26.6%.The models struggled over the Developed Pacific universe during this month.
4. Emerging Markets: Within the Emerging Markets universe, the performance of the models was mixed. The Price Momentum model was the top performing model returning 4.28%.The Price Momentum model also led over the one-year period, with returns at 23.89%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned -2.80%. 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 -3.20%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 0.30%. The Telecom 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 37.5% while the REIT 2 model's performance was the lowest at 6.73%. Within the specialty model library the Semiconductor and the Technology models had the strongest one month quintile return spread performance returning 9.52% and 5.31%, respectively, while the Insurance and the REIT 2 models saw weaker returns.

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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.