December 2020 Model Performance Report

Research Signals - December 2020

• US: Within the US Large Cap universe the Value Momentum 2 model had the strongest one month decile return spread performance, returning 0.77%, while the Historical Growth model lagged. Over the US Small Cap universe, our Price Momentum model had the strongest one month decile return spread performance, returning 2.29%, while the Earnings Momentum model lagged.
• Developed Europe: Over the Developed Europe universe, our Earnings Momentum model returned 0.96% on a one month decile return spread basis, while the Price Momentum model trailed.
• Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 0.16%, while the Value Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 9.49%.
• Emerging Markets: Within the Emerging Markets universe, our Earnings Momentum model returned 1.82% on one month decile return spread basis, while Price Momentum lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 9.09%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 0.60%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -0.10%. The Cyclicals sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 2.70%. The Basic Materials sector had a favorable ranking and the Energy sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Insurance and the REIT 2 models had the strongest one month quintile return spread performance returning 2.82% and 0.38%, respectively, while the Semiconductor and the Retail models struggled. The Insurance model's one year cumulative performance is the highest at 25.85% while the Technology model's performance is the lowest at -42.99%.

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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.