August 2020 Model Performance Report

Research Signals - August 2020

• US: Within the US Large Cap universe most models underperformed, with the Value Momentum 2 model being flat for the month, returning 0.04%, while the Earnings Momentum model lagging the most. Over the US Small Cap universe our Price Momentum model had the strongest one month decile return spread performance compared to other models that all underperformed, returning -0.33%. The Earnings Momentum model lagged the most.
• Developed Europe: The models over the Developed Europe universe struggled during the month as well. Our Price Momentum model lagged the least on a one month decile return spread basis, returning -0.30%, while the Relative Value model trailed the most.
• Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 3.23%, while the Earnings Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 7.69%.
• Emerging Markets: Within the Emerging Markets universe our models underperformed with the Relative Value model losing the least, returning -0.28% on one month decile return spread basis, while the Value Momentum model lagged the most. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 12.11%.
• Sector Rotation: The US Large Cap Sector Rotation model returned -0.70%. The Non-Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled returned -0.20%. The Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Basic Materials sector had a favorable ranking and the Energy sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Bank and Thrift 2 model had the strongest one month quintile return spread performance returning 3.01%, while the REIT 2 and the Retail models lagged. The Insurance model's one year cumulative performance is the highest at 31.65% while the Technology model's performance is the lowest at -19.81%.

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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.