September 2021 Model Performance Report

Research Signals - September 2021

• US: Within the US Large Cap universe the Value Momentum model had the strongest one month decile return spread performance, returning 4.38%, while the Historical Growth model lagged. Over the US Small Cap universe, our Deep Value model had the strongest one month decile return spread performance, returning 5.79%, while the Price Momentum model lagged.
• Developed Europe: Over the Developed Europe universe, our Earnings Momentum model returned 2.60% on a one month decile return spread basis, while Price Momentum lagged.
• Developed Pacific: Over the Developed Pacific universe, the Price Momentum model had the strongest one month decile return spread performance, returning 4.57%, while the Earnings Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 19.74%.
• Emerging Markets: Within the Emerging Markets universe, our Price Momentum model returned 3.00% on one month quintile return spread basis, while Deep Value lagged. The Earnings Momentum model's one year cumulative performance is still the highest for the EM universe at 10.55%.
• Sector Rotation: The US Large Cap Sector Rotation model returned 2.60%. The Tech sector had a favorable ranking and the Utilities sector had an unfavorable ranking. The US Small Cap Sector Rotation model struggled with a return of -3.10%. The Cyclicals sector had a favorable ranking and the Energy sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Cyclicals sector had a favorable ranking and the Utilities sector had an unfavorable ranking.
• Specialty Models: Within our specialty model library the Retail model had the strongest one month quintile return spread performance returning 1.90%, while the Oil and Gas model struggled. The Insurance model's one year cumulative performance is the highest at 17.77% while the Oil and Gas model's performance is the lowest at -8.94%.

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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.