Category Archives: $SPY

Momentum Still Dominates For US Equity Factor Performances

Posted on in $SPY, Finance News, IJJ, IJR, IJS, IVE, MTUM, QUAL, USMV, VYM | 0 comments

As horse races go, this one’s not even close. The momentum factor continues to leave the rest of the field in the dust for the major US equity factor strategies, based on the one-year trend via a set of ETFs. Although all the factor funds are posting solid gains through yesterday’s close (Nov. 8), the […]

Replicating Indexes In R (Part III): Socially Responsible Investing

Posted on in $SPY, Finance News, SRI | 0 comments

In previous installments of replicating indexes I profiled the style-analysis methodology and presented an example using a hedge fund index. Now let’s turn to a strategy of replicating the S&P 500 Index with a handful of stocks that are considered socially responsible investments (SRI). What’s the rationale? A growing number of investors require that their […]

Financials Still Lead But Tech Is Heating Up

Posted on in $SPY, Finance News, SR, VNQ, VOX, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY | 0 comments

Financial stocks remain the top-performing US sector for the one-year trend, based on a set of ETFs, but tech’s recent surge suggests that a leadership change may be near. For the moment, Financial Select Sector SPDR (XLF) heads up one-year results, posting a red-hot 37.1% total return through yesterday’s close (Oct. 30). Technology Select Sector […]

Momentum Continues To Lead US Equity Factor Strategies

Posted on in $SPY, Finance News, IJJ, IJS, IVE, MTUM, QUAL, USMV, VYM | 0 comments

A bull market prevails across all the major US factor strategies led by momentum, based on one-year returns via a set of proxy ETFs. The iShares Edge MSCI USA Momentum Factor (MTUM) ticked up to a record high at yesterday’s close (Oct. 10). The upside bias for the fund has been unusually strong recently. The […]

Replicating Indexes In R With Style Analysis: Part I

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In the quest for clarity in portfolio analytics, Professor Bill Sharpe’s introduction of returns-based style analysis was a revelation. By applying statistical techniques to reverse engineer investment strategies using historical performance data, style analysis offers a powerful, practical tool for understanding the source of risk and return in portfolios. The same analytical framework can be […]

Financials Rebound As Tech Stumbles

Posted on in $SPY, Finance News, SR, VNQ, VOX, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY | 0 comments

The recent revival in shares of financial stocks has lifted this corner of the US equity market to the top-performing sector for one-year performance, based on a set of ETFs. The change in leadership is also a function of technology’s latest stumble – a slide that’s trimmed the formerly first-place sector’s performance to third for […]

Tech Stocks Lead US Sectors For 1-Year Momentum

Posted on in $SPY, Finance News, SR, VNQ, VOX, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY | 0 comments

Technology shares have overtaken financial stocks as the top sector performer for the trailing one-year period, based on a set of ETFs. The formerly high-flying financials have been clobbered recently, in part due to worries that falling bond yields and the blowback due to hurricanes striking the US will take a bite out of earnings […]

Modeling Expected Drawdown Risk

Posted on in $SPY, Finance News, MDD | 0 comments

There are no silver bullets for profiling risk, but drawdown’s properties arguably give this metric a leg up over most of the competition. The combination of an intuitive framework, simplicity, and sharp focus on how markets actually behave is a tough act to beat. Perhaps the strongest argument in favor of drawdown can be summed […]

Financials & Tech Continue To Lead US Sectors For 1-Year Return

Posted on in $SPY, Finance News, VOX, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY | 0 comments

Financial and technology stocks remain the top sector performers for the trailing one-year period, based on a set of ETFs. The bullish momentum has cooled in recent weeks for these equities, but the same is true for the market generally, leaving the two sectors comfortably in the lead vs. the rest of the field. Echoing […]

Financials Continue To Lead US Equity Sectors For 1-Year Return

Posted on in $SPY, Finance News, VOX, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY | 0 comments

The trend remains your friend if financials have been overweighted in your portfolio. Measured by one-year performance, this sector is red hot in absolute and relative terms, based on a set of proxy ETFs. Tech is a close second for one-year sector returns. Goldman Sachs forecasts that the pair will hold on to their leadership […]