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June 2022 Model Performance Report

13 July 2022

Research Signals - June 2022

  • US: Our models over the US Large Cap universe struggled during the month. Most models had a negative performance, with the Price Momentum model being flat. Over the US Small Cap universe, the Small Cap model had the strongest one month decile return spread performance, returning 4.26%.
  • Developed Europe: The models performed well over the Developed Europe universe, our Value Momentum model was the best performing model with one month quintile return spread performance of 4.44%.
  • Developed Pacific: Over the Developed Pacific universe, the Relative Value model had the strongest one month decile return spread performance, returning 9.00%, while the Earnings Momentum model lagged. The Value Momentum model's one year cumulative performance is currently 39.54%.
  • Emerging Markets: The Price Momentum model had the strongest one month quintile return spread performance, returning 2.16%. The Value Momentum model's one year cumulative performance is still the highest for the EM universe at 35.56%.
  • Sector Rotation: The US Large Cap Sector Rotation model returned -2.20%. The Healthcare sector had a favorable ranking and the Cyclicals sector had an unfavorable ranking. The US Small Cap Sector Rotation model with a return of 3.00%. The Energy sector had a favorable ranking and the Telecom sector had an unfavorable ranking. The Developed Europe Sector Rotation model returned 1.40%. The Non-Cyclicals sector had a favorable ranking and the Financials sector had a unfavorable ranking.
  • Specialty Models: Within our specialty model library the Retail and the Insurance models had the strongest one month quintile return spread performance returning 6.31% and 3.55%, respectively, while the REIT 2 and the Semiconductor models struggled. The Technology model's one year cumulative performance is the highest at 38.87% while the Oil and Gas model's performance is the lowest at 16.49%.

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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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