March 2020 Model Performance Report

Research Signals - March 2020

• US: Within the US Large Cap universe the Historical Growth model had the strongest one month decile return spread performance, returning 19.96%, while the Price Momentum model lagged. Over the US Small Cap universe our Historical Growth model had the strongest one month decile return spread performance, returning 10.29%, while the Relative Value model lagged. The performance of the Historical Growth 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 6.21%, while the Deep Value model trailed.
• Over the Developed Pacific universe, the Earnings Momentum model had the strongest one month decile return spread performance, returning 3.00%, while the Price Momentum model lagged. The Price Momentum model's one year cumulative performance is currently 8.41%.
• Emerging Markets: performance, returning 2.08%, while the Deep Value model lagged. The Earnings Momentum model's one year cumulative performance is the highest for the EM universe at 17.24%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 14.10%. 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 2.50%. The Tech sector had a favorable ranking and the Healthcare sector had an unfavorable ranking.The Developed Europe Sector Rotation model returned 7.60%. The Healthcare sector had a favorable ranking and the Energy sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Insurance and the Oil and Gas models had the strongest one month quintile return spread performance returning 2.37% and 1.91%, respectively, while the Retail and the Bank and Thrift 2 models struggled. The Oil and Gas model's one year cumulative performance is the highest at 14.61% while the REIT 2 model's performance is the lowest at -5.83%.

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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.