March 2023 Model Performance Report

Research Signals

• US: Model performance varies across the board for the US Large Cap universe, with the Price Momentum model earning highest returns at 0.67%. The Deep Value model performed the worst. Over the US Small Cap universe, almost all of our models had positive performance. The Relative Value model had the strongest one month decile return spread performance, returning 6.57%. On the 12-month basis, the GARP model's performs best at 53.00% while the performance of the Price Momentum model continues to lag.
• Developed Europe: Over the Developed Europe universe, our Relative Value model returned -0.17% on a one month decile return spread basis, while Earnings Momentum lagged. On a 12-month basis, the Deep Value model performs best, at 28.41% cumulative.
• Developed Pacific: Over the Developed Pacific universe, the Relative Value model had the strongest one month decile return spread performance, returning 1.70%, while the Earnings Momentum model lagged. The Value Momentum model leads performance over the recent one year, delivering 23.43%
• Emerging Markets: The Price Momentum model had the strongest one month quintile return spread performance, returning 3.91%. The Value Momentum model continues to lead over the one-year period, with returns at 26.39%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 1.70%.The Energy sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 1.60%. The Utilities sector had a favorable ranking and the Financials sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 4.90%. The Industrials sector had a favorable ranking and the Financials sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Retail and the Semiconductor models had the strongest one month quintile return spread performance returning 10.37% and 5.91%, respectively, while the REIT 2 and the Technology models struggled. The Retail model's one year cumulative performance is the highest at 44.47% while the REIT 2 model's performance is the lowest at -6.6%.

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Contact MK-ResearchSignals@ihsmarkit.com

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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.