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 158.11 91 B -4.7% 38%   3% -35%
Abbott Laboratories ABT NYSE Health Care Drug Manufacturers - Diversified USD 92.97 164 B 10.4% 37%   3% -32%
AMETEK AME NYSE Industrial Goods Precision, Measurement & Processing USD 89.76 21 B -0.8% 45%   4% -43%
Avery Dennison Corp. AVY NYSE Industrial Goods Packaging - Paper Products USD 118.17 10 B 0.0% 46%   4% -44%
Baxter International Inc. BAX NYSE Health Care Kidney Failure USD 88.11 45 B 8.5% 37%   3% -23%
BlackRock BLK NYSE Finance Investment Bankers/Brokers/Service USD 557.55 86 B 19.4% 47%   5% -43%
Broadridge Financial Solutions Llc BR NYSE Technology Software - Business Process Mngt USD 128.69 15 B -1.2% 36%   3% -38%
CBOE Holdings CBOE BATS Finance Investment Bankers/Brokers/Service USD 95.00 10 B -12.6% 41%   2% -41%
Constellation Brands STZ NYSE Consumer Non-Durables Beverages - Wineries & Distillers USD 186.49 36 B -4.1% 44%   3% -50%
Fidelity National Financial FNF NYSE Finance Specialty Insurers & Brokers USD 30.59 8.3 B -22.2% 52%   3% -57%
Hilton Worldwide Holdings HLT NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 76.23 21 B -23.8% 46%   2% -51%
IDEX IEX NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 160.13 12 B -5.6% 37%   3% -36%
Jack Henry & Associates Inc. JKHY NASDAQ Finance Financial Banking Software USD 183.06 14 B 34.7% 35%   3% -26%
Mastercard Inc. MA NYSE Finance Financial Transaction Services USD 305.57 307 B 12.8% 46%   4% -41%
McDonald's Corp. MCD NYSE Services Hotels, Restaurants, Fast-Food & Resorts USD 188.50 140 B -8.4% 40%   3% -38%
Microsoft MSFT NASDAQ Technology Information Systems & Network Software USD 210.70 1,598 B 55.2% 40%   5% -28%
Parker-Hannifin Corp. PH NYSE Industrial Goods Engineered Industrial Products USD 186.50 24 B 14.0% 59%   6% -55%
Rollins ROL NYSE Real Estate Real Estate Services USD 42.75 14 B 16.2% 35%   3% -22%
SEI Investments Company SEIC NASDAQ Finance Investment Bankers/Brokers/Service USD 55.66 8.2 B -0.5% 43%   4% -47%
Sherwin-Williams Company SHW NYSE Industrial Goods Chemicals - Specialties USD 592.16 54 B 28.1% 43%   4% -33%
Stanley Black & Decker Inc SWK NYSE Industrial Goods Electrical Power Systems & Automation USD 141.09 22 B -1.8% 63%   5% -58%
Synopsys SNPS NASDAQ Technology Software - Professional Design USD 199.39 30 B 47.3% 40%   5% -34%
TE Connectivity TEL NYSE Industrial Goods Electrical Components, Connectors & Sensors USD 82.50 27 B -11.6% 47%   3% -47%
The Progressive Corporation PGR NYSE Finance Property & Casualty Insurance USD 79.42 46 B -2.3% 36%   2% -21%
Torchmark Corp. TMK NYSE Finance Life Insurance USD 88.10 10 B -4.0% 6%   0% -9%
United Health UNH NYSE Health Care Health Care Benefits & Insurance USD 302.81 287 B 24.4% 48%   5% -36%
Waste Connections WCN NYSE Utilities Environmental Services & Waste Mngt USD 92.51 24 B -3.8% 33%   2% -32%
Waste Management WM NYSE Utilities Environmental Services & Waste Mngt USD 105.21 44 B -7.9% 34%   2% -30%
Waters WAT NYSE Health Care Lab Analytical Instruments USD 184.36 11 B -16.3% 38%   2% -33%
Xylem XYL NYSE Industrial Goods Energy & Fluid Control Systems/Pumps & Filters USD 67.17 12 B -17.7% 45%   3% -36%