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 137.74 79 B -30.9% 36%   2% -46%
Abbott Laboratories ABT NYSE Health Care Drug Manufacturers - Diversified USD 79.34 140 B 0.9% 34%   3% -32%
AMETEK AME NYSE Industrial Goods Precision, Measurement & Processing USD 73.72 17 B -10.4% 42%   4% -43%
Avery Dennison Corp. AVY NYSE Industrial Goods Packaging - Paper Products USD 104.77 8.7 B -5.2% 41%   4% -44%
Baxter International Inc. BAX NYSE Health Care Kidney Failure USD 82.19 42 B 2.2% 35%   3% -23%
BlackRock BLK NYSE Finance Investment Bankers/Brokers/Service USD 455.35 71 B 9.7% 43%   5% -43%
Broadridge Financial Solutions Llc BR NYSE Technology Software - Business Process Mngt USD 96.94 11 B -4.5% 33%   3% -38%
CBOE Holdings CBOE BATS Finance Investment Bankers/Brokers/Service USD 93.03 10 B -1.1% 36%   3% -41%
Constellation Brands STZ NYSE Consumer Non-Durables Beverages - Wineries & Distillers USD 146.44 28 B -15.2% 40%   3% -50%
Fidelity National Financial FNF NYSE Finance Specialty Insurers & Brokers USD 26.40 7.3 B -24.3% 43%   3% -57%
Hilton Worldwide Holdings HLT NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 68.68 19 B -16.6% 36%   2% -50%
IDEX IEX NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 136.88 10 B -8.5% 34%   3% -36%
Jack Henry & Associates Inc. JKHY NASDAQ Finance Financial Banking Software USD 156.05 12 B 13.7% 30%   3% -26%
Mastercard Inc. MA NYSE Finance Financial Transaction Services USD 253.25 255 B 8.2% 40%   5% -41%
McDonald's Corp. MCD NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 168.13 125 B -8.9% 36%   3% -38%
Microsoft MSFT NASDAQ Technology Information Systems & Network Software USD 160.23 1,219 B 37.5% 38%   6% -28%
Parker-Hannifin Corp. PH NYSE Industrial Goods Engineered Industrial Products USD 130.35 17 B -22.0% 51%   4% -55%
Rollins ROL NYSE Real Estate Real Estate Services USD 35.84 12 B -12.7% 35%   3% -28%
SEI Investments Company SEIC NASDAQ Finance Investment Bankers/Brokers/Service USD 46.44 7.0 B -9.8% 39%   4% -47%
Sherwin-Williams Company SHW NYSE Industrial Goods Chemicals - Specialties USD 481.83 44 B 13.0% 38%   4% -33%
Stanley Black & Decker Inc SWK NYSE Industrial Goods Electrical Power Systems & Automation USD 100.38 15 B -24.3% 55%   4% -58%
Synopsys SNPS NASDAQ Technology Software - Professional Design USD 129.31 19 B 12.3% 37%   4% -34%
TE Connectivity TEL NYSE Industrial Goods Electrical Components, Connectors & Sensors USD 63.72 21 B -18.8% 39%   3% -47%
The Progressive Corporation PGR NYSE Finance Property & Casualty Insurance USD 76.18 45 B 9.3% 34%   3% -21%
Torchmark Corp. TMK NYSE Finance Life Insurance USD 88.10 10 B 7.9% 10%   0% -9%
United Health UNH NYSE Health Care Health Care Benefits & Insurance USD 251.28 238 B 3.4% 45%   4% -36%
Waste Connections WCN NYSE Utilities Environmental Services & Waste Mngt USD 77.39 20 B -11.9% 29%   2% -32%
Waste Management WM NYSE Utilities Environmental Services & Waste Mngt USD 94.60 40 B -7.0% 30%   3% -30%
Waters WAT NYSE Health Care Lab Analytical Instruments USD 188.14 12 B -25.3% 35%   2% -36%
Xylem XYL NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 66.24 12 B -15.0% 39%   3% -36%