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 Industrial Goods Engineered Industrial Products USD 177.52 102 B -8.8% 26%   3% -27%
Abbott Laboratories ABT NYSE Health Care Drug Manufacturers - Diversified USD 88.74 157 B 39.7% 22%   4% -12%
Ametek AME NYSE Industrial Goods Precision, Measurement & Processing USD 89.80 20 B 23.0% 22%   4% -22%
Avery Dennison Corp. AVY NYSE Industrial Goods Packaging - Paper Products USD 117.09 10 B 4.2% 24%   3% -27%
Baxter International Inc. BAX NYSE Health Care Kidney Failure USD 83.30 42 B 11.3% 21%   3% -21%
BlackRock BLK NYSE Finance Investment Bankers/Brokers/Service USD 477.46 74 B -3.6% 24%   3% -29%
Broadridge Financial Solutions Llc BR NYSE Technology Software - Business Applications USD 134.17 16 B 15.2% 26%   3% -33%
CBOE Holdings Inc. CBOE NASDAQ Finance Investment Bankers/Brokers/Service USD 114.77 13 B 11.4% 21%   1% -19%
Constellation Brands Inc STZ NYSE Consumer Non-Durables Beverages - Wineries & Distillers USD 202.29 38 B -4.4% 30%   2% -34%
Fidelity National Financial FNF NYSE Finance Specialty Insurers & Brokers USD 42.64 12 B 9.4% 22%   2% -27%
Harris Corp. HRS NYSE Technology Information Systems & Network Software USD 189.13 22 B 27.1% 28%   3% -27%
Hilton Worldwide Holdings HLT NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 95.12 28 B 18.9% 25%   3% -22%
Idex Corp. IEX NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 166.94 13 B 20.9% 22%   4% -24%
Jack Henry & Associates Inc. JKHY NASDAQ Finance Financial Banking Software USD 138.85 11 B 2.1% 20%   2% -26%
Mastercard Inc. MA NYSE Finance Financial Transaction Services USD 278.97 286 B 33.7% 27%   5% -22%
McDonald's Corp. MCD NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 214.31 164 B 38.5% 16%   1% -10%
Microsoft MSFT NASDAQ Technology Information Systems & Network Software USD 139.29 1,067 B 31.1% 26%   5% -19%
Parker-Hannifin Corp. PH NYSE Industrial Goods Engineered Industrial Products USD 176.68 23 B 11.2% 26%   4% -26%
Rollins ROL NYSE Finance Finance Consumer Services USD 38.15 12 B 4.6% 23%   2% -21%
SEI Investments Company SEIC NASDAQ Finance Investment Bankers/Brokers/Service USD 57.75 8.8 B -3.8% 24%   3% -33%
Sherwin-Williams Company SHW NYSE Industrial Goods Chemicals - Specialties USD 490.23 45 B 15.0% 24%   3% -24%
Stanley Black & Decker Inc SWK NYSE Industrial Goods Electrical Power Systems & Automation USD 151.66 23 B 10.1% 34%   4% -30%
Synopsys Inc. SNPS NASDAQ Technology Software - Professional Design USD 136.16 20 B 48.0% 26%   5% -23%
TE Connectivity TEL NYSE Industrial Goods Robotics & Industrial Processes USD 91.20 31 B -1.1% 24%   3% -25%
The Progressive Corporation PGR NYSE Finance Property & Casualty Insurance USD 80.56 47 B 40.2% 24%   4% -22%
Torchmark Corp. TMK NYSE Finance Life Insurance USD 91.32 10 B 8.8% 19%   2% -21%
Total System Services TSS NYSE Finance Financial Transaction Services USD 132.33 23 B 46.7% 26%   5% -24%
United Health UNH NYSE Health Care Health Care Benefits & Insurance USD 255.01 242 B 2.0% 25%   2% -24%
Waste Connections WCN NYSE Utilities Environmental Services & Waste Mngt USD 94.99 25 B 26.6% 16%   2% -12%
Waste Management WM NYSE Utilities Environmental Services & Waste Mngt USD 117.19 50 B 46.2% 16%   2% -11%
Waters Corp. WAT NYSE Health Care Lab Analytical Instruments USD 218.61 15 B 10.5% 27%   3% -21%
Xylem XYL NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 81.78 15 B 21.1% 25%   4% -25%