May 2020 Model Performance Report

Research Signals - May 2020

• US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance, returning 7.56%, while the Deep Value model lagged. Over the US Small Cap universe our Earnings Momentum model had the strongest one month decile return spread performance, returning 8.92%, while the Deep Value model lagged. The performance of the Earnings Momentum model was driven by the performance of the long portfolio.
• Developed Europe: Within the Developed Europe universe our Price Momentum model was the top performer on a one month decile return spread basis, returning 3.82%, while the Deep Value model trailed.
• Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 1.62%, while the Value Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 5.04%.
• Emerging Markets: Within the Emerging Markets universe our Price Momentum model had the strongest one month decile return spread performance, returning 0.21%, while the Deep Value model lagged. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 15.12%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 0.70%. The Tech sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The US Small Cap Sector Rotation model performed well, returning 4.50%. The Non-Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 0.90%. The Healthcare sector had a favorable ranking and the Telecom sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Oil and Gas and the Insurance models had the strongest one month quintile return spread performance returning 5.03% and 4.29%, respectively, while the Semiconductor and the Technology models struggled. The Insurance model's one year cumulative performance is the highest at 27.58% while the Technology model's performance is the lowest at -12.20%.

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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.