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. Vol. Contrib. MDD
 
3M Company MMM NYSE Industrial Goods Engineered Industrial Products USD 208.30 120 B -9.8% 23%   3% -24%
Abbott Laboratories ABT NYSE Health Care Drug Manufacturers - Diversified USD 79.94 140 B 29.5% 23%   4% -12%
Ametek AME NYSE Industrial Goods Precision, Measurement & Processing USD 80.86 18 B 4.0% 23%   4% -22%
Avery Dennison Corp. AVY NYSE Industrial Goods Packaging - Paper Products USD 109.98 9.2 B 0.8% 23%   3% -27%
Baxter International Inc. BAX NYSE Health Care Kidney Failure USD 77.18 40 B 16.7% 22%   3% -21%
BlackRock BLK NYSE Finance Investment Bankers/Brokers/Service USD 429.92 68 B -22.6% 25%   3% -36%
Broadridge Financial Solutions Llc BR NYSE Technology Software - Business Applications USD 101.76 12 B -5.1% 27%   3% -33%
CBOE Holdings Inc. CBOE NASDAQ Finance Investment Bankers/Brokers/Service USD 95.21 11 B -18.3% 22%   1% -22%
Constellation Brands Inc STZ NYSE Consumer Non-Durables Beverages - Wineries & Distillers USD 164.60 31 B -26.5% 27%   1% -36%
Fidelity National Financial FNF NYSE Finance Specialty Insurers & Brokers USD 34.42 9.5 B -14.1% 22%   2% -28%
Harris Corp. HRS NYSE Technology Information Systems & Network Software USD 160.99 19 B 1.6% 28%   3% -27%
Hilton Worldwide Holdings HLT NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 84.92 25 B 4.1% 25%   3% -25%
Idex Corp. IEX NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 148.56 11 B -0.2% 23%   3% -24%
Jack Henry & Associates Inc. JKHY NASDAQ Finance Financial Banking Software USD 135.06 10 B 8.4% 20%   3% -26%
Mastercard Inc. MA NYSE Finance Financial Transaction Services USD 229.89 236 B 27.6% 28%   5% -22%
McDonald's Corp. MCD NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 184.97 142 B 18.0% 19%   1% -10%
Microsoft MSFT NASDAQ Technology Information Systems & Network Software USD 117.52 902 B 28.1% 28%   5% -19%
Parker-Hannifin Corp. PH NYSE Industrial Goods Engineered Industrial Products USD 168.91 22 B -6.2% 26%   4% -26%
Rollins ROL NYSE Finance Finance Consumer Services USD 40.55 13 B 18.8% 21%   3% -21%
SEI Investments Company SEIC NASDAQ Finance Investment Bankers/Brokers/Service USD 51.63 7.9 B -33.1% 24%   2% -45%
Sherwin-Williams Company SHW NYSE Industrial Goods Chemicals - Specialties USD 429.26 40 B 6.4% 23%   3% -24%
Stanley Black & Decker Inc SWK NYSE Industrial Goods Electrical Power Systems & Automation USD 131.85 20 B -16.9% 33%   3% -32%
Synopsys Inc. SNPS NASDAQ Technology Software - Professional Design USD 109.27 16 B 26.2% 24%   4% -23%
TE Connectivity TEL NYSE Industrial Goods Robotics & Industrial Processes USD 82.64 28 B -20.2% 23%   3% -32%
The Progressive Corporation PGR NYSE Finance Property & Casualty Insurance USD 72.01 42 B 20.2% 23%   3% -22%
Torchmark Corp. TMK NYSE Finance Life Insurance USD 81.92 9.0 B -4.3% 20%   2% -21%
Total System Services TSS NYSE Finance Financial Transaction Services USD 92.97 16 B 4.8% 23%   4% -24%
United Health UNH NYSE Health Care Health Care Benefits & Insurance USD 250.50 240 B 13.2% 23%   3% -19%
Waste Connections Inc. WCN NYSE Utilities Environmental Services & Waste Mngt USD 84.39 22 B 15.9% 16%   2% -12%
Waste Management WM NYSE Utilities Environmental Services & Waste Mngt USD 100.80 43 B 18.5% 17%   2% -11%
Waters Corp. WAT NYSE Health Care Lab Analytical Instruments USD 245.26 18 B 16.1% 26%   4% -18%
Xylem Inc. XYL NYSE Industrial Goods Pollution Control Equipment USD 78.18 14 B -0.9% 26%   4% -25%