Punch line: the following analysis displays the YTD cumulative abnormal return (“CAR”; summation of daily beta-adjusted excess return) of the 24 S&P 500 GICS industry-groups. I ran the CAR for each S&P 500 industry-group, sorted them in order of out-performance, and charted the top 12/bottom 12 CAR industry-groups in the pdf links below, which reveal the magnitude of industry-group out/under-performance and recent alpha trend. The Trump reflation theme winners/losers have moved in fits and starts: some faltered, several stabilized and others re-engaged.
Shown alongside the charts is the recent CAR trend (trailing 5d, 10d, 15d, 20d & 25d) to convey second-order CAR behavior and, at the risk of transmitting false signals, a qualitative signaling label based on the recent CAR trend (using a rules-based algorithm to quantify the qualitative labeling process).
Finally, as a caveat, it is important to note that these are highly noisy processes with the potential for false-signal whipsaw and with the magnitude and horizon/phase length subject to tremendous variability; the analogy might be RSIs which can stay extended for long periods of time with the magnitude of subsequent mean reversion quite uncertain.
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Note: calculations Risk Advisors, data Bloomberg
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