June 2020 Model Performance Report

Research Signals - June 2020

• US: Within the US Large Cap universe the Value Momentum model had the strongest one month decile return spread performance, returning 1.34%, while the GARP model lagged. Over the US Small Cap universe our Price Momentum model had the strongest one month decile return spread performance, returning 3.07%, while the Deep Value model lagged. The performance of the Price Momentum model was driven by the performance of the long portfolio.
• Developed Europe: Within the Developed Europe universe our Deep Value model was the top performer on a one month decile return spread basis, returning 4.21%, while the Earnings Momentum model trailed.
• Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 4.35%, while the Relative Value model lagged. The Price Momentum model's one year cumulative performance is currently 7.71%.
• Emerging Markets: Within the Emerging Markets universe our Deep Value model had the strongest one month decile return spread performance, returning 1.32%, while the Deep Value model lagged. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 13.42%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 2.60%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled returning -0.90%. The Non-Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 0.20%. The Healthcare sector had a favorable ranking and the Cyclicals sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Bank and Thrift 2 and the Insurance models had the strongest one month decile return spread performance returning 2.66% and 0.89%, respectively, while the Semiconductor and the Oil and Gas models struggled. The Insurance model's one year cumulative performance is the highest at 28.62% while the Technology model's performance is the lowest at -14.86%.

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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.