February 2020 Model Performance Report

Research Signals - February 2020

• US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance, returning 6.25%, while the Value Momentum 2 model lagged. Over the US Small Cap universe our Earnings Momentum model had the strongest one month decile return spread performance, returning only 0.85%, while the GARP model lagged. The performance of the Earnings Momentum model was driven by the performance of the short 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 2.26%, while the Deep Value model trailed.
• Developed Pacific: Over the Developed Pacific universe, the Deep Value model had the strongest one month decile return spread performance, returning 1.70%, while the Relative Value model lagged. The Price Momentum model's one year cumulative performance is currently 17.07%.
• Emerging Markets: Within the Emerging Markets universe our Price Momentum model had the strongest one month decile return spread performance, returning 2.59%, while the Deep Value model lagged. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 13.13%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 2.60%. The Tech sector had a favorable ranking and the Energy sector had an unfavorable ranking. The US Small Cap Sector Rotation model performed well, returning 0.70%. The Cyclicals sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 2.90%. The Healthcare sector had a favorable ranking and the Telecom sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Semiconductor and the Insurance models had the strongest one month quintile return spread performance returning 1.65% and 0.52%, respectively, while the Oil and Gas and the Technology models struggled. The Oil and Gas model's one year cumulative performance is the highest at 16.11% while the REIT 2 model's performance is the lowest at -6.28%.

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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.