The momentum & low volatility theme of large/medium cap companies has been outperforming the major indices by a wide margin in 2017 – performance has been exceptionally strong while volatility has remained subdued and maximum drawdown quite small
Volatility is a measure of price dispersion observed over time, signaling the degree of riskiness – in a 10-15% band, this dispersion was at the low end of the market for 2017. Maximum drawdown (MDD), the largest continuous price drop observed over the year was very small at 6%
Measured against the SPDR® S&P® 500 ETF benchmark, it remains to be seen if the 2017 momentum will extend into the coming months, if the relative overweight of the financial sector will be maintained or if the industrial goods sector will benefit from a – potentially – dynamic investment cycle
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