November 2022 Model Performance Report

Research Signals - November 2022

• US: Within the US Large Cap universe, many of our models performed well. The Relative Value model had the strongest one month decile return spread performance, returning 5.06%. 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 10.94%.
• Developed Europe: Over the Developed Europe universe, our Deep Value model returned 3.87% 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 4.76%, while the Earnings Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 37.05%.
• Emerging Markets: The Value Momentum model had the strongest one month quintile return spread performance, returning 9.30%. The Value Momentum model's one year cumulative performance is still the highest for the EM universe at 29.88%.
• Sector Rotation: The Sector Rotation model over the US Large Cap universe returned 1.00%. The Tech sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The Sector Rotation model over the US Small Cap universe struggled with a return of -1.20%. The Utilities sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Sector Rotation model over the Developed Europe universe returned 0.50%. The Energy sector had a favorable ranking and the Financials sector had a unfavorable ranking.
• Specialty Models: Within our specialty model library the Semiconductor and the Technology models had the strongest one month quintile return spread performance returning 9.05% and 7.01%, respectively, while the Oil and Gas and the Insurance models struggled. The Technology model's one year cumulative performance is the highest at 43.78% while the REIT 2 model's performance is the lowest at 2.36%.

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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.