May 2024 Model Performance Report

1. US: The models over the US Large Cap universe struggled during the month. Many models had a negative performance. Over the US Small Cap universe, the Relative Value model had the strongest one month decile return spread performance, returning 3.29%. On the 12-month basis, the Value Momentum 2 model performed best at 38.94% while the performance of the Earnings Momentum model continued to lag.
2. Developed Europe: Over the Developed Europe universe, the Relative Value model returned 2.62% on a one month decile return spread basis. On a 12-month basis, the Relative Value model performed the best, at 39.15% cumulative.
3. Developed Pacific: Over the Developed Pacific universe, all models performed well. The Deep Value model had the strongest one month decile return spread performance, returning 3.77%. The Deep Value model led the performance over the recent one year, delivering 31.96%.
4. Emerging Markets: Within the Emerging Markets universe, the Relative Value model returned 2.26% on one month quintile return spread basis. The Price Momentum model led over the one-year period, with returns at 20.48%.
5. Sector Rotation: The US Large Cap Sector Rotation model returned 2.70%.The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model earned a return of 1.00%. The Non-Cyclicals sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 0.30%. The Basic Materials sector had a favorable ranking and the Non-Cyclicals sector had an unfavorable ranking.
6. Specialty Models: The Insurance model's one year cumulative performance was the highest at 29.52% while the Bank and Thrift 2 model's performance was the lowest at 7.01%. Within the specialty model library the Semiconductor and the Insurance models had the strongest one month quintile return spread performance returning 2.12% and 1.98%, respectively, while the REIT 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.