Category Archives: $SPY

Spike In Market Volatility Dents Momentum Factor’s Dominance

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

Momentum-based strategies have led the factor-investing horse race for US equities in recent history, but the latest surge in market volatility may be its undoing. For the trailing 30-day period, the momentum factor’s modest loss leaves it in last place, based on a set of ETFs tracking key US-based factor strategies. By contrast, the best-performing […]

Losses Dominate Year-To-Date Performances For US Equity Sectors

Posted on in $SPY, Finance News, VNQ, VOX, XLK, XLP, XLY | 0 comments

The revival of volatility in the US stock market this year has taken a toll on most equity sectors. Only two out of 11 sectors – consumer discretionary and technology – are posting year-to-date gains at the moment, based on a set of ETFs. The top performer so far in 2018: Consumer Discretionary SPDR (XLY), […]

Considering Skewness Of Returns As A Risk Metric

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

Intech Investment Management recently published a primer on monitoring market stress by way of several risk metrics, including skewness of returns (SoR). In the grand scheme of quantifying risk, SoR is relatively obscure, but Intech makes a good case for paying more attention to this data. Applied to financial markets, skewness measures the degree of […]

Tech Momentum Shines In Turbulent First Quarter

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

It’s been a turbulent year for US stocks so far, but technology shares are an exception as this corner of the market roars higher in 2018. These firms have outperformed both the broad market as well as the other major sectors on a year-to-date basis, based on a set of ETF proxies. Technology SPDR (XLK) […]

Momentum Factor Still Leads After Surge In Market Volatility

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

The US stock market this year has taken investors on a white-knuckled ride, but the momentum factor’s performance leadership has remained a constant in the US equity factor space, based on a set of proxy ETFs. For year-to-date performance through yesterday’s close (Mar. 5), the iShares Edge MSCI USA Momentum Factor (MTUM) remains the clear […]

Tech Sector Momentum Still Dominates After Market Turbulence

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

The surge in market volatility earlier this month took a toll far and wide, but tech’s leadership endures, based on a set of sector ETFs. A fund that holds a diversified mix of technology shares is trading below its recent highs, but the sector has largely bounced back from the early February correction and continues […]

Trend Behavior: Comparing US vs. Emerging Markets Stocks

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

Standard finance theory tells us to select weights for stocks and other asset classes based on market value. By that standard, emerging markets deserve a relatively light touch in portfolios. But this strikes some investors are misguided. As Frontera, a research shop, noted last year, “Emerging Markets Account for 80% of Global GDP Growth But […]

Despite Market Turmoil, Momentum Factor Still Dominates

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

The recent spike in stock market volatility has dented the momentum factor’s powerful bull run, but the strategy continues to reign supreme over its main competitors in the US equity factor space, based on a set of proxy ETFs. For the one-year trend, it’s still a one-factor race. The iShares Edge MSCI USA Momentum Factor […]

Technology Continues To Lead US Sectors As Healthcare Heats Up

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

Shares of technology stocks remain the trend leader but healthcare’s recent strength suggests a changing of the guard may be near, based on a set of sector ETFs ranked by one-year return. Meanwhile, telecom is the only US sector nursing a loss for the year-over-year change, although real estate stocks are close to dipping into […]

Momentum Continues To Dominate Factor ETF Performances

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

The US stock jumped to another record high yesterday, providing more fuel to keep the momentum factor sizzling. All the major factor strategies are posting solid one-year returns these days, but momentum’s trend remains a bullish outlier, based on a set of proxy ETFs. The outsized return for the momentum-factor strategy, which targets equities that […]