Since the launch of the four S&P Capital IQ™ U.S. stock selection models in January 2011, the performance of all four models (Growth Benchmark Model, Value Benchmark Model, Quality Model, and Price Momentum Model) has been positive and 2014 was no exception. Our models’ key differentiators - distinct formulation for large cap and small cap stocks, special treatment for the financial sector, sector neutrality to target stock specific alpha, and factor diversity - enabled the models to outperform across various market environments.
In this report, we review the underlying drivers of each model’s performance over the 12 months ended December 31, 2014, document performance from January 2011 when the models went live, and provide full model performance history from January 1987.
- All four models generated positive long-short return spreads and information coefficients during 2014 and out-of-sample period 2011-2014
- The Value Benchmark Model delivered the strongest 2014
- Valuation was the main driver of performance in the Growth Benchmark, Value Benchmark and Quality Models
- All models posted robust performance after controlling for Market Cap and Beta
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