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. Momentum Vol. Risk Contrib. MDD
 
3M Company MMM NYSE Conglomerates Diversified Conglomerates USD 195.21 113 B 26.5% Neutral 22%   3% -7%
Abbott Laboratories ABT NYSE Health Care Drug Manufacturers - Diversified USD 111.44 197 B 24.2% Weak Down 25%   3% -17%
AMETEK AME NYSE Industrial Goods Precision, Measurement & Processing USD 133.72 31 B 50.3% Neutral 23%   4% -11%
Avery Dennison Corp. AVY NYSE Industrial Goods Packaging - Paper, paperboard & metal USD 209.88 17 B 85.5% Neutral 28%   4% -8%
Baxter International Inc. BAX NYSE Health Care Kidney Failure USD 81.51 41 B -2.3% Weak Down 21%   2% -17%
BlackRock BLK NYSE Finance Investment Bankers/Brokers/Service USD 861.26 131 B 57.7% Neutral 24%   4% -12%
Broadridge Financial Solutions BR NYSE Finance Banking / Insurance Software USD 160.89 19 B 30.4% Neutral 21%   3% -11%
Cboe Global Markets CBOE BATS Finance Exchange USD 118.00 13 B 18.8% Weak Up 29%   2% -21%
Constellation Brands STZ NYSE Consumer Non-Durables Beverages - Wineries & Distillers USD 225.94 44 B 27.0% Neutral 27%   4% -16%
Fidelity National Financial FNF NYSE Finance Financial Transaction Services USD 44.65 13 B 45.4% Neutral 28%   4% -14%
Hilton Worldwide Holdings HLT NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 126.74 35 B 66.6% Neutral 34%   5% -14%
IDEX IEX NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 217.11 16 B 42.5% Neutral 23%   4% -12%
Jack Henry & Associates JKHY NASDAQ Finance Banking / Insurance Software USD 166.85 13 B -8.2% Neutral 28%   3% -27%
Mastercard MA NYSE Finance Electronic Payments Services USD 373.09 371 B 23.0% Neutral 29%   5% -21%
McDonald's Corp. MCD NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 232.90 174 B 25.6% Neutral 17%   2% -10%
Microsoft MSFT NASDAQ Technology Information Systems & Network Software USD 262.63 1,981 B 31.5% Neutral 27%   3% -13%
Parker-Hannifin Corp. PH NYSE Industrial Goods Engineered Products & Materials USD 288.05 37 B 58.7% Weak Down 30%   5% -14%
Rollins ROL NYSE Real Estate Real Estate Services USD 33.73 17 B 21.4% Weak Down 29%   3% -24%
SEI Investments Company SEIC NASDAQ Finance Investment Bankers/Brokers/Service USD 61.68 8.9 B 12.0% Neutral 29%   4% -16%
Sherwin-Williams Company SHW NYSE Industrial Goods Chemicals - Specialties USD 273.10 73 B 42.0% Neutral 21%   3% -12%
Stanley Black & Decker Inc SWK NYSE Industrial Goods Electrical Power Systems & Automation USD 198.79 32 B 48.4% Weak Down 25%   4% -12%
Synopsys SNPS NASDAQ Technology Software - Professional Design USD 264.80 40 B 37.0% Weak Up 33%   4% -25%
TE Connectivity TEL NYSE Industrial Goods Electrical Components, Connectors & Sensors USD 131.64 44 B 64.4% Neutral 26%   4% -11%
The Progressive Corporation PGR NYSE Finance Property & Casualty Insurance USD 94.60 55 B 23.0% Weak Down 24%   3% -14%
United Health UNH NYSE Health Care Health Care Benefits & Insurance USD 398.07 376 B 37.3% Neutral 23%   3% -11%
Waste Connections WCN NYSE Utilities Environmental Services & Waste Mngt USD 119.91 31 B 32.0% Neutral 17%   2% -10%
Waste Management WM NYSE Utilities Environmental Services & Waste Mngt USD 139.36 59 B 36.0% Neutral 18%   3% -10%
Waters WAT NYSE Health Care Lab Analytical Instruments USD 342.44 21 B 84.6% Strong Up 27%   3% -17%
Xylem XYL NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 116.33 21 B 78.9% Neutral 25%   4% -12%