Punch line: Q1, 2018 S&P 500 sector, save info tech and consumer discretionary, and index returns were painted red. Intra-sector stock-returns sported tight groupings tarred by a common macro brush. These risk-return outcomes are reflected in the charts and tables below.
The following is an update of the quarterly sector-level dispersion analysis which reveals a preponderance of sectors in the red and concordant 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 S&P 500 over the Q1, 2018 horizon (with dividends, latest constituents). Sector returns, save info tech and consumer discretionary, were all negative lagged by telecom services (sparsely populated) and consumer staples. For most sectors, save consumer discretionary and real estate, cap-weighted returns fared worse than equally-weighted returns reflecting large-cap under-performance in the S&P 500 sector space.
Next, a scatter plot of stock returns by sector, along with 5%- & 95%-tile markers. Intra-sector stock-returns, relative to their volatility, were tarred by common macro influences and sported tight groupings; the exception being healthcare which displayed more dispersed vol-adjusted outcomes. This is visually apparent in the chart below and more precisely in the table that follows.
This is also shown in tabular form along with the %-tile sector return distribution. Also shown is the directional ratio (avg net return to avg gross return) and dispersion-based diversification ratio (~ index vol/component vol), which points to less differentiated sector outcomes.
Finally, a listing of stock returns, by sector, ranked in descending order of performance is shown in the pdf link below:
Stock by sector returns Q1, 2018
And, very finally, the cumulative abnormal return (“CAR”; summation of daily beta-adjusted excess return) of the S&P 500 GICS industries, over the Q1, 2018 horizon. I ran the CAR for each S&P 500 industry, sorted them in order of out-performance, and then charted the top 10/bottom 10 CAR industries in the below pdf links:
Note: calculations Risk Advisors, data Bloomberg
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