Category Archives: $SPY

Are Recent S&P 500 Returns Excessive Relative To History?

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The US stock market has been on a tear lately. Has the party gone too far? A rising chorus of analysts say that caution is advised, citing several valuation metrics. The Shiller PE Ratio, for instance, is currently at its second-highest level since the late-1800s. Valuations appear stretched, but history reminds that this form of […]

Momentum Leaves Other Factor Strategies In The Dust This Year

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

No one will confuse it with Bitcoin, but momentum is certainly red hot among US equity factor strategies, based on a set of ETFs. Stocks exhibiting relatively strong and persistent performance have outperformed for much of the year so far and the gap has widened in recent weeks. All the major equity factor strategies are […]

Tech-Stock Momentum Accelerates

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Technology shares have surged recently, leaving the rest of US equity sectors in the dust, based on a set of ETFs. Sector leadership appeared to be shifting to tech from financials at the end of last month. Nearly four weeks later, the transition is complete and there’s no doubt which sector dominates the upside momentum […]

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

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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

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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 […]