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 202.41 117 B 41.9% Weak Up 25%   3% -10%
Abbott Laboratories ABT NYSE Health Care Drug Manufacturers - Diversified USD 118.79 210 B 27.2% Neutral 25%   2% -10%
AMETEK AME NYSE Industrial Goods Precision, Measurement & Processing USD 135.84 31 B 63.9% Weak Up 25%   4% -11%
Avery Dennison Corp. AVY NYSE Industrial Goods Packaging - Paper, paperboard & metal USD 220.35 18 B 112.9% Strong Up 30%   4% -12%
Baxter International Inc. BAX NYSE Health Care Kidney Failure USD 87.53 44 B -0.2% Weak Up 21%   2% -17%
BlackRock BLK NYSE Finance Investment Bankers/Brokers/Service USD 867.10 132 B 77.3% Weak Up 27%   4% -12%
Broadridge Financial Solutions BR NYSE Finance Financial Banking Software USD 164.90 19 B 43.3% Weak Up 22%   3% -11%
Cboe Global Markets CBOE BATS Finance Exchange USD 107.30 12 B 9.1% Weak Up 31%   2% -26%
Constellation Brands STZ NYSE Consumer Non-Durables Beverages - Wineries & Distillers USD 241.62 47 B 48.0% Neutral 29%   4% -16%
Fidelity National Financial FNF NYSE Finance Financial Transaction Services USD 46.22 14 B 89.9% Weak Up 35%   5% -16%
Hilton Worldwide Holdings HLT NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 120.77 34 B 68.0% Neutral 37%   5% -21%
IDEX IEX NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 226.34 17 B 48.9% Weak Up 25%   4% -12%
Jack Henry & Associates JKHY NASDAQ Finance Financial Banking Software USD 158.47 12 B -12.8% Neutral 29%   2% -27%
Mastercard MA NYSE Finance Electronic Payments Services USD 375.48 373 B 35.3% Neutral 31%   4% -21%
McDonald's Corp. MCD NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 234.86 175 B 31.8% Weak Up 19%   2% -10%
Microsoft MSFT NASDAQ Technology Information Systems & Network Software USD 249.73 1,884 B 36.9% Neutral 28%   3% -13%
Parker-Hannifin Corp. PH NYSE Industrial Goods Engineered Products & Materials USD 316.07 41 B 104.3% Neutral 35%   5% -14%
Rollins ROL NYSE Real Estate Real Estate Services USD 36.97 18 B 33.8% Weak Up 30%   3% -24%
SEI Investments Company SEIC NASDAQ Finance Investment Bankers/Brokers/Service USD 63.33 9.1 B 26.8% Neutral 32%   4% -19%
Sherwin-Williams Company SHW NYSE Industrial Goods Chemicals - Specialties USD 285.39 77 B 64.3% Strong Up 24%   3% -12%
Stanley Black & Decker Inc SWK NYSE Industrial Goods Electrical Power Systems & Automation USD 217.40 35 B 100.2% Strong Up 33%   5% -11%
Synopsys SNPS NASDAQ Technology Software - Professional Design USD 237.46 36 B 49.4% Neutral 34%   3% -25%
TE Connectivity TEL NYSE Industrial Goods Electrical Components, Connectors & Sensors USD 135.74 45 B 87.8% Neutral 31%   5% -15%
The Progressive Corporation PGR NYSE Finance Property & Casualty Insurance USD 104.20 61 B 45.5% Weak Up 25%   2% -14%
United Health UNH NYSE Health Care Health Care Benefits & Insurance USD 414.97 392 B 47.4% Strong Up 25%   3% -11%
Waste Connections WCN NYSE Utilities Environmental Services & Waste Mngt USD 123.28 32 B 34.5% Strong Up 20%   2% -10%
Waste Management WM NYSE Utilities Environmental Services & Waste Mngt USD 141.48 60 B 41.6% Strong Up 21%   3% -10%
Waters WAT NYSE Health Care Lab Analytical Instruments USD 309.01 19 B 66.2% Weak Up 29%   3% -17%
Xylem XYL NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 118.75 21 B 88.1% Weak Up 29%   4% -12%