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August 2022 Model Performance Report

13 September 2022

Research Signals - August 2022

  • US: Model performance varies across the board for the US Large Cap universe, with the Price Momentum model earning the highest returns at 2.62%. The Relative Value model performed the worst. Over the US Small Cap universe, the Price Momentum model had the strongest one month decile return spread performance, returning 3.05%.
  • Developed Europe: The models performed well over the Developed Europe universe, our Price Momentum model was the best performing model with one month quintile return spread performance of 9.11%.
  • Developed Pacific: Over the Developed Pacific universe, the Earnings Momentum model had the strongest one month decile return spread performance, returning 1.35%, while the Relative Value model lagged. The Value Momentum model's one year cumulative performance is currently 29.51%.
  • Emerging Markets: The Earnings Momentum model had the strongest one month quintile return spread performance, returning 2.36%. The Price Momentum model's one year cumulative performance is still the highest for the EM universe at 22.78%.
  • Sector Rotation: The US Large Cap Sector Rotation model returned 0.90%. The Energy sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 2.90%. The Energy sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model struggled during the month. The Telecom sector had a favorable ranking and the Financials sector had an unfavorable ranking.
  • Specialty Models: Within our specialty model library the Bank and Thrift 2 had the strongest one month decile return spread performance returning 2.89% while the Technology model lagged. The Technology model's one year cumulative performance is the highest at 30.87% while the REIT 2 model's performance is the lowest at 1.37%.

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IHS Markit provides industry-leading data, software and technology platforms and managed services to tackle some of the most difficult challenges in financial markets. We help our customers better understand complicated markets, reduce risk, operate more efficiently and comply with financial regulation.


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.

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