Punch line: Q3, 2016 SPX sector returns were moderately dispersed on either side of the ledger. Sector returns were led by secular-growth tech and lagged by rate-sensitive sectors. Intra-sector stock-return dispersion was dispersed with tech stocks displaying a wide range of outcomes and materials, real estate, telecom services and utilities sporting tight groupings. These are reflected in the charts and tables below.
The following quarterly sector-level dispersion analysis reveals varied inter-sector performance and intra-sector dispersion outcomes:
This first chart notes the sector (cap-weighted) return (green bars), average (equally-weighted) return (blue bars) and median stock return (burgundy bars) for the various sector of the SPX over the Q3, 2016 horizon (with dividends, latest constituents). Sector returns were led by secular-growth tech and lagged by rate-sensitive sectors. At the index level, and for a majority of sectors, equally-weighted returns bested cap-weighted returns reflecting large-cap under-performance within the SPX.
Next, a scatter plot of stock returns by sector, along with 5%- & 95%-tile markers. Intra-sector stock-return dispersion was dispersed with tech stocks displaying a wide range of outcomes and materials, real estate, telecom services and utilities sporting tight groupings.
This is also shown in tabular form along with %-tile sector return distribution. Also shown are the directional ratio (avg net return to avg gross return) and dispersion-based diversification ratio (portfolio vol/component vol), both of which point to differential sector outcomes.
Finally, a listing of stock returns, by sector, ranked in descending order of performance:
Note: calculations Risk Advisors, data Bloomberg
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