US Markets Momentum & Low Volatility

US Markets Momentum & Low Volatility
  • Pininvest Analysis

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

Check Analytics on DATAvariance folio (free registration required) to evaluate relative company strengths

US Markets Momentum & Low Volatility • Updated:

Name Ticker Exchange Sector Industry Currency Cur.Price Mkt.Cap Perf. Vol. Risk Contrib. MDD
 
3M Company MMM NYSE Industrial Goods Engineered Industrial Products USD 171.44 99 B -14.8% 27%   3% -29%
Abbott Laboratories ABT NYSE Health Care Drug Manufacturers - Diversified USD 84.27 149 B 25.0% 23%   4% -12%
Ametek AME NYSE Industrial Goods Precision, Measurement & Processing USD 90.70 21 B 12.9% 24%   4% -22%
Avery Dennison Corp. AVY NYSE Industrial Goods Packaging - Paper Products USD 116.55 10 B 8.9% 23%   3% -26%
Baxter International Inc. BAX NYSE Health Care Kidney Failure USD 86.93 44 B 12.9% 22%   3% -21%
BlackRock BLK NYSE Finance Investment Bankers/Brokers/Service USD 442.96 68 B -4.2% 25%   3% -26%
Broadridge Financial Solutions Llc BR NYSE Technology Software - Business Process Mngt USD 124.02 14 B -8.1% 25%   3% -33%
CBOE Holdings Inc. CBOE NASDAQ Finance Investment Bankers/Brokers/Service USD 110.86 12 B 7.6% 21%   1% -19%
Constellation Brands Inc STZ NYSE Consumer Non-Durables Beverages - Wineries & Distillers USD 204.07 39 B -2.4% 30%   2% -34%
Fidelity National Financial FNF NYSE Finance Specialty Insurers & Brokers USD 43.30 12 B 10.0% 22%   2% -27%
Harris Corp. HRS NYSE Technology Information Systems & Network Software USD 189.13 22 B 16.1% 26%   2% -27%
Hilton Worldwide Holdings HLT NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 96.05 28 B 20.7% 26%   4% -22%
Idex Corp. IEX NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 170.88 13 B 11.2% 23%   4% -24%
Jack Henry & Associates Inc. JKHY NASDAQ Finance Financial Banking Software USD 145.21 11 B -9.9% 20%   2% -26%
Mastercard Inc. MA NYSE Finance Financial Transaction Services USD 276.32 280 B 27.3% 29%   5% -22%
McDonald's Corp. MCD NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 209.81 159 B 33.3% 17%   2% -10%
Microsoft MSFT NASDAQ Technology Information Systems & Network Software USD 137.32 1,048 B 22.7% 27%   5% -19%
Parker-Hannifin Corp. PH NYSE Industrial Goods Engineered Industrial Products USD 182.23 23 B -0.9% 28%   4% -26%
Rollins ROL NYSE Finance Finance Consumer Services USD 34.54 11 B -17.1% 26%   2% -28%
SEI Investments Company SEIC NASDAQ Finance Investment Bankers/Brokers/Service USD 60.63 9.2 B -4.0% 25%   3% -33%
Sherwin-Williams Company SHW NYSE Industrial Goods Chemicals - Specialties USD 541.52 50 B 16.6% 25%   3% -24%
Stanley Black & Decker Inc SWK NYSE Industrial Goods Electrical Power Systems & Automation USD 146.25 22 B 0.4% 35%   4% -30%
Synopsys Inc. SNPS NASDAQ Technology Software - Professional Design USD 134.64 20 B 31.1% 28%   5% -23%
TE Connectivity TEL NYSE Industrial Goods Robotics & Industrial Processes USD 96.69 32 B 7.3% 25%   3% -24%
The Progressive Corporation PGR NYSE Finance Property & Casualty Insurance USD 72.68 42 B 10.5% 26%   3% -22%
Torchmark Corp. TMK NYSE Finance Life Insurance USD 88.10 10 B 2.2% 19%   2% -21%
Total System Services TSS NYSE Finance Financial Transaction Services USD 135.48 24 B 37.7% 28%   5% -24%
United Health UNH NYSE Health Care Health Care Benefits & Insurance USD 233.61 221 B -10.5% 26%   2% -24%
Waste Connections WCN NYSE Utilities Environmental Services & Waste Mngt USD 88.60 23 B 12.8% 17%   2% -12%
Waste Management WM NYSE Utilities Environmental Services & Waste Mngt USD 111.95 47 B 23.8% 16%   2% -11%
Waters Corp. WAT NYSE Health Care Lab Analytical Instruments USD 232.13 15 B 18.3% 29%   3% -21%
Xylem XYL NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 78.67 14 B -1.6% 25%   3% -25%