Customer Logins

Obtain the data you need to make the most informed decisions by accessing our extensive portfolio of information, analytics, and expertise. Sign in to the product or service center of your choice.

Customer Logins

September 2021 Model Performance Report

06 October 2021

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%.

Download full article

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.


Follow Financial Services

Explore

RELATED INDUSTRIES & TOPICS

Follow Us

{"items" : [ {"name":"share","enabled":true,"desc":"<strong>Share</strong>","mobdesc":"Share","options":[ {"name":"facebook","url":"https://www.facebook.com/sharer.php?u=http%3a%2f%2fihsmarkit.com%2fresearch-analysis%2fseptember-2021-model-performance-report.html","enabled":true},{"name":"twitter","url":"https://twitter.com/intent/tweet?url=http%3a%2f%2fihsmarkit.com%2fresearch-analysis%2fseptember-2021-model-performance-report.html&text=September+2021+Model+Performance+Report+%7c+IHS+Markit+","enabled":true},{"name":"linkedin","url":"https://www.linkedin.com/sharing/share-offsite/?url=http%3a%2f%2fihsmarkit.com%2fresearch-analysis%2fseptember-2021-model-performance-report.html","enabled":true},{"name":"email","url":"?subject=September 2021 Model Performance Report | IHS Markit &body=http%3a%2f%2fihsmarkit.com%2fresearch-analysis%2fseptember-2021-model-performance-report.html","enabled":true},{"name":"whatsapp","url":"https://api.whatsapp.com/send?text=September+2021+Model+Performance+Report+%7c+IHS+Markit+ http%3a%2f%2fihsmarkit.com%2fresearch-analysis%2fseptember-2021-model-performance-report.html","enabled":true}]}, {"name":"rtt","enabled":true,"mobdesc":"Top"} ]}
Filter Sort