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

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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 Conglomerates Diversified Conglomerates USD 176.89 102 B 7.7% 38%   3% -34%
Abbott Laboratories ABT NYSE Health Care Drug Manufacturers - Diversified USD 107.62 191 B 27.6% 39%   3% -31%
AMETEK AME NYSE Industrial Goods Precision, Measurement & Processing USD 119.77 28 B 21.7% 46%   4% -43%
Avery Dennison Corp. AVY NYSE Industrial Goods Packaging - Paper, paperboard & metal USD 150.30 13 B 17.1% 48%   4% -43%
Baxter International Inc. BAX NYSE Health Care Kidney Failure USD 75.97 38 B -6.2% 37%   2% -23%
BlackRock BLK NYSE Finance Investment Bankers/Brokers/Service USD 715.11 109 B 47.4% 48%   4% -42%
Broadridge Financial Solutions Llc BR NYSE Technology Software - Business Process Mngt USD 147.40 17 B 20.9% 36%   3% -36%
Cboe Global Markets CBOE BATS Finance Exchange USD 91.71 10 B -21.6% 43%   3% -40%
Constellation Brands STZ NYSE Consumer Non-Durables Beverages - Wineries & Distillers USD 204.81 40 B 11.7% 46%   3% -49%
Fidelity National Financial FNF NYSE Finance Financial Transaction Services USD 36.56 11 B -20.5% 55%   4% -56%
Hilton Worldwide Holdings HLT NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 104.41 29 B -0.4% 51%   3% -51%
IDEX IEX NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 192.36 15 B 19.4% 39%   3% -35%
Jack Henry & Associates Inc. JKHY NASDAQ Finance Financial Banking Software USD 157.80 12 B 5.0% 39%   3% -25%
Mastercard MA NYSE Finance Electronic Payments Services USD 339.07 339 B 16.6% 48%   4% -41%
McDonald's Corp. MCD NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 218.33 162 B 14.8% 40%   3% -36%
Microsoft MSFT NASDAQ Technology Information Systems & Network Software USD 215.23 1,629 B 43.6% 44%   4% -28%
Parker-Hannifin Corp. PH NYSE Industrial Goods Engineered Industrial Products USD 272.85 35 B 39.0% 60%   5% -54%
Rollins ROL NYSE Real Estate Real Estate Services USD 57.03 19 B 60.4% 37%   2% -22%
SEI Investments Company SEIC NASDAQ Finance Investment Bankers/Brokers/Service USD 55.61 8.1 B -12.7% 45%   4% -47%
Sherwin-Williams Company SHW NYSE Industrial Goods Chemicals - Specialties USD 735.81 67 B 27.1% 43%   3% -33%
Stanley Black & Decker Inc SWK NYSE Industrial Goods Electrical Power Systems & Automation USD 187.71 30 B 20.3% 62%   5% -58%
Synopsys SNPS NASDAQ Technology Software - Professional Design USD 225.42 34 B 59.8% 43%   3% -34%
TE Connectivity TEL NYSE Industrial Goods Electrical Components, Connectors & Sensors USD 115.31 38 B 26.4% 48%   4% -47%
The Progressive Corporation PGR NYSE Finance Property & Casualty Insurance USD 88.43 52 B 24.7% 37%   2% -20%
Torchmark Corp. TMK NYSE Finance Life Insurance USD 88.10 10 B 0.0% 0%   0% 0%
United Health UNH NYSE Health Care Health Care Benefits & Insurance USD 337.94 321 B 22.4% 48%   4% -36%
Waste Connections WCN NYSE Utilities Environmental Services & Waste Mngt USD 104.38 27 B 16.1% 33%   3% -32%
Waste Management WM NYSE Utilities Environmental Services & Waste Mngt USD 119.19 50 B 7.5% 35%   3% -30%
Waters WAT NYSE Health Care Lab Analytical Instruments USD 228.27 14 B 2.8% 40%   3% -33%
Xylem XYL NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 97.14 17 B 26.7% 46%   4% -36%