July 2020 Model Performance Report

Research Signals - July 2020

• US: Within the US Large Cap universe the Earnings Momentum model had the strongest one month decile return spread performance, returning 7.56%, while the Deep Value model lagged. Over the US Small Cap universe our GARP model had the strongest one month decile return spread performance, returning 6.58%, while the Deep Value model lagged. The performance of the GARP 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 6.24%, while the Deep Value model trailed.
• Developed Pacific: Over the Developed Pacific universe, the Earnings Momentum model had the strongest one month decile return spread performance, returning 9.52%, while the Value Momentum model lagged. The Earnings Momentum model's one year cumulative performance is currently 14.80%.
• Emerging Markets: Within the Emerging Markets universe our Earnings Momentum model had the strongest one month decile return spread performance, returning 4.20%, while the Deep Value model lagged. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 15.30%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 3.10%.The Tech sector had a favorable ranking and the Industrials sector had an unfavorable ranking. The US Small Cap Sector Rotation model returned 0.10%. The Tech sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 3.60%. The Healthcare sector had a favorable ranking and the Telecom sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the REIT 2 and the Retail models had the strongest one month quintile return spread performance returning 4.43% and 3.51%, respectively, while the Technology and the Oil and Gas models struggled. The Insurance model's one year cumulative performance is the highest at 33.35% while the Technology model's performance is the lowest at -15.78%.

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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.