December 2021 Model Performance Report

Research Signals - December 2021

• US: Within the US Large Cap universe the Deep Value model had the strongest one month decile return spread performance, returning 7.88%, while the Price Momentum model lagged. Over the US Small Cap universe, our Deep Value model also had the strongest one month decile return spread performance, returning 12.65%, while the Price Momentum model lagged.
• Developed Europe: Over the Developed Europe universe, our Deep Value model also outperformed, returning 4.33% on a one month decile return spread basis, while Price Momentum lagged.
• Developed Pacific: Over the Developed Pacific universe, the Value Momentum model had the strongest one month decile return spread performance, returning 7.12%. The rest of the models within the region had a positive return spread as well. The Value Momentum model's one year cumulative performance is currently 27.22%.
• Emerging Markets: Within the Emerging Markets universe, our Price Momentum model returned 1.68% on one month quintile return spread basis, while Relative Value lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 11.71%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 2.00%. The Tech sector had a favorable ranking and the Basic Materials sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 0.70%. The Industrials sector had a favorable ranking and the Tech sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 0.50%. The Industrials sector had a favorable ranking and the Telecom sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Technology model had the strongest one month quintile return spread performance returning 11.67%, while the Oil and Gas model struggled. The Technology model's one year cumulative performance is the highest at 27.63% while the Bank and Thrift 2 model's performance is the lowest at 4.24%.

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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.