Asset Class Performance YTD, QTD, and MTD - Total Return (%)
September Rotation
The S&P 500 (SPY) ETF is currently up more than 1% in the month of September -- a month that has historically been the weakest month of the year.
Notably, though, September has indeed been a pretty rough month for areas of the market that had been doing well coming into the month, but it's also been a great month for areas that had been weak.
We've already seen this type of rotation out of winners into other areas of the market a couple of other times throughout the year, and we view this as a healthy sign that investor appetite is still strong for equities as an asset class around the globe.
Note this month's weakness in the Nasdaq 100, Tech, and Health Care in our asset class matrix below. We've seen MTD weakness in these top YTD performers just as we've seen buyers step in and buy Energy and Financials -- two areas of relative weakness when looking at full year returns.
Asset Class Performance YTD, QTD, and MTD - Total Return (%)
US Related ETF Description SPY S&P 500 DIA Dow 30 QQQ Nasdaq 100 IJH S&P Midcap 400 IJR S&P Smallcap 600 IWB Russell 1000 IWM Russell 2000 IWV Russell 3000
MTD 1.21 1.87 -1.15 2.26 4.11 1.29 3.31 1.48
IVW S&P 500 Growth
0.34
IJK Midcap 400 Growth 2.00
IJT Smallcap 600 Growth 3.37
IVE S&P 500 Value
2.40
IJJ Midcap 400 Value
2.45
IJS Smallcap 600 Value 4.77
DVY DJ Dividend
1.85
RSP S&P 500 Equalweight 1.72
FXB British Pound FXE Euro FXY Yen
4.59 0.32 -1.98
XLY Cons Disc XLP Cons Stap XLE Energy XLF Financials XLV Health Care XLI Industrials XLB Materials XLK Technology IYZ Telecom XLU Utilities
0.09 -0.73 8.10 3.32 0.36 3.87 3.29 -0.23 -3.29 -2.01
QTD YTD 3.59 13.10 5.24 14.91 5.00 22.56 1.59 7.59 2.57 5.24 3.56 13.04 2.88 7.82 3.54 12.60
4.44 18.16 1.75 10.28 2.19 6.66 2.54 7.33 1.25 4.35 2.69 3.33 1.67 7.52 2.31 10.24
3.77 9.43 4.45 12.85 0.20 3.85
0.12 -1.14 4.86 3.45 2.95 4.41 5.70 7.26 -4.43 3.67
10.91 6.41 -8.46 10.58 19.24 15.35 15.34 22.33 -9.34 12.65
Global ETF Description EWA Australia EWZ Brazil EWC Canada ASHR China EWQ France EWG Germany EWH Hong Kong PIN India EWI Italy EWJ Japan EWW Mexico EWP Spain RSX Russia EWU UK
EFA EAFE EEM Emerging Mkts IOO Global 100 EEB BRIC
DBC Commodities USO Oil UNG Nat. Gas GLD Gold SLV Silver
SHY 1-3 Yr Treasuries IEF 7-10 Yr Treasuries TLT 20+ Yr Treasuries AGG Aggregate Bond BND Total Bond Market TIP T.I.P.S.
MTD 0.35 7.12 3.36 0.44 4.14 4.71 0.26 -1.69 4.16 1.30 -0.85 0.50 2.37 2.91
QTD 4.84 25.51 7.64 8.36 7.55 6.41 5.66 6.29 13.49 3.30 3.80 3.17 13.85 4.49
2.23 4.89 1.22 9.63 1.69 4.37 2.69 15.38
1.92 5.92 -1.79 -2.16 -3.73
6.51 7.37 -2.80 4.30 2.03
-0.16 0.22 -1.02 0.80 -1.26 1.43 -0.41 0.86 -0.40 0.86 -0.39 1.11
YTD 14.83 29.61 11.06 25.97 27.54 24.01 29.24 26.97 32.69 14.15 28.74 29.02 2.85 16.02
20.40 30.21 16.31 28.47
-2.84 -12.97 -29.34 12.31 6.08
0.62 3.29 7.65 3.29 3.22 1.96
The Bespoke Report 9/22/17 Page 1 of 31
For Personal Use Only--Do Not Forward or Redistribute
? Our S&P 500 decile analysis for the month of September shows rotation out of the year's top performing strategies into the year's worst performing strategies.
? To run the analysis, we break up the S&P 500 into deciles (10 groups of 50 stocks each) based on the various categories shown in the matrix below. We then calculate the average September % change for the stocks in each decile.
? Through August, the top performing stocks were the largest stocks in the index that had bullish analyst ratings and low levels of short interest. The worst stocks through August had high dividend yields, lower market caps, bearish analyst ratings, and high levels of short interest.
? So far this month, the smallest stocks in the S&P 500 have outperformed the largest stocks. The highest yielding stocks have also outperformed, and the same is true for stocks with high levels of short interest. Stocks with the best analyst ratings have been weak.
? The main way to show the rotation out of winners into losers is in the bottom row of the matrix. Here you can see that the 50 best performing S&P 500 stocks YTD through August are up just 0.14% in September, while the 50 worst performing S&P 500 stocks YTD through August are up an average of 4.6%.
Market Cap (Largest to Smallest)
S&P 500 Decile Performance: September 2017
Decile 1 2
3
4
5
6
7
8
9 Decile 10
1.25% 1.49% 1.27% 1.76% 1.39% 0.24% 1.61% 1.74% 2.05% 2.51%
P/E Ratio (Lowest to Highest)
1.94%
2.21%
2.46%
0.98%
0.07%
0.77%
1.81%
1.48%
0.34%
3.23%
Dividend Yield (Highest to Lowest)* Short Interest (Lowest to Highest) Institutional Ownership (Most to Least)
2.93% 2.04% 0.92%
1.19% 1.55% 0.90%
0.13% 0.97% 1.17%
2.09% 1.74% 0.90%
2.87% 1.49% 1.61%
1.96% 0.49% 1.61%
0.29% 0.56% 2.93%
1.85% 1.58% 2.26%
2.70% 2.39% 1.69%
0.24% 2.51% 1.31%
Analyst Ratings (Best to Worst)
0.42% 0.42% 0.83% 2.00% 2.08% 2.00% 2.29% 1.60% 1.66% 1.98%
% International Revenues (Most to Least)** YTD % Chg Thru August (Best to Worst)
3.30% 0.14%
1.72% 0.79%
1.01% 1.00%
2.19% 0.39%
2.61% 1.83%
1.43% 1.39%
1.13% 1.88%
2.02% 1.77%
1.51% 1.65%
0.58% 4.60%
*Decile 10 of dividend yield category is made up of all stocks that pay no dividend. **Decile 10 of international revenues category is made up of all stocks that have no international revenues.
The Bespoke Report 9/22/17
For Personal Use Only--Do Not Forward or Redistribute
Page 2 of 31
? One stock characteristic where performance has remained steady so far in September is international revenue exposure.
? The weak dollar in 2017 has caused stocks with a high percentage of international revenues (revenues generated outside of the US) to outperform significantly this year. That was the case through August, but it's also remained the case in September.
? As shown below, the decile of stocks in the S&P 500 with the highest percentage of international revenue exposure is up 3.3% in September, while the stocks with the most domestic revenue exposure are up just 0.6%.
? As long as the dollar is weak, we'll likely continue to see this trend in place. If we were to all of a sudden see stocks with heavy domestic exposure begin to outperform, though, it might be a sign that the dollar is set to begin rallying again.
? Remember, Premium and Institutional members can use our International Revenues database to track geographic revenue exposure for individual stocks.
4.0% 3.5% 3.3%
International Revenues
3.0% 2.5% 2.0% 1.5% 1.0% 0.5%
2.6%
2.2% 1.7%
1.0%
2.0%
1.4%
1.5%
1.1%
0.6%
0.0%
Most 2
3
4
5
6
7
8
9 Least
The Bespoke Report 9/22/17
For Personal Use Only--Do Not Forward or Redistribute
Page 3 of 31
? Below we show the 30 best and 30 worst performing S&P 500 stocks on a year-to-date basis through August. We also show how they've performed so far in September.
? As you can see, the 30 worst performing stocks YTD through August are up 6.65% so far in September, while the 30 best through August are up just 0.84%.
? If we saw this type of rotation into losers every time the market's winners took a breather, there would never be much to worry about with the major indices.
Worst S&P 500 Stocks YTD Through August
Stock Company
YTD % Thru August Sept. % Chg
FL Foot Locker Inc
-50.30
-3.46
RRC Range Resources
-49.48
8.92
CHK Chesapeake Energy
-48.15
14.01
BHGE Baker Hughes
-47.82
7.76
HP Helmerich & Payne Inc
-45.30
20.03
LB L Brands Inc
-44.99
3.70
UAA Under Armour Inc
-44.41
2.41
AAP Advance Auto Parts Inc
-42.11
-3.84
M Macy's Inc
-42.00
3.01
APC Anadarko Petroleum
-41.30
19.63
MAT Mattel Inc
-41.13
-9.43
APA Apache Corp
-38.81
11.43
HES Hess Corp
-37.55
12.47
NBL Noble Energy Inc
-37.55
12.71
KR Kroger
-36.63
-7.06
MRO Marathon Oil Corp
-35.76
15.20
NFX Newfield Exploration
-35.48
9.45
AZO AutoZone Inc
-33.09
6.25
SIG Signet Jewelers
-33.09
2.06
MOS Mosaic
-31.88
4.25
DVN Devon Energy
-31.25
13.04
GWW WW Grainger Inc
-30.00
8.54
ORLY O'Reilly Automotive
-29.55
4.66
AKAM Akamai Technologies
-29.29
1.34
PXD Pioneer Natural Res.
-28.00
9.57
HAL Halliburton Co
-27.95
12.30
FTI TechnipFMC PLC
-27.30
4.61
XEC Cimarex Energy Co
-26.64
10.29
FLR Fluor Corp
-26.56
5.77
MAC Macerich
-25.51
-0.09
Average
-36.63
6.65
Best S&P 500 Stocks YTD Through August
Stock Company
YTD % Thru August Sept. % Chg
VRTX Vertex Pharmaceuticals
117.92
-6.01
NRG NRG Energy Inc
103.18
-3.59
ALGN Align Technology Inc
83.86
6.05
ATVI Activision Blizzard Inc
81.56
-1.66
WYNN Wynn Resorts Ltd
60.66
4.61
ILMN Illumina Inc
59.68
-1.73
NVDA NVIDIA Corp
58.74
6.39
ISRG Intuitive Surgical Inc
58.42
2.21
CNC Centene Corp
57.23
0.36
LRCX Lam Research Corp
56.98
5.34
PYPL PayPal Holdings Inc
56.27
5.01
ADSK Autodesk Inc
54.65
-1.92
EA Electronic Arts Inc
54.27
-1.63
RHT Red Hat Inc
54.23
-0.20
BA Boeing Co
53.94
8.08
FMC FMC Corp
52.44
4.57
RCL Royal Caribbean Cruises
51.71
-7.17
ADBE Adobe Systems Inc
50.71
-3.98
FB Facebook Inc
49.47
-0.38
MU Micron Technology Inc
45.85
13.17
MTD Mettler-Toledo Intl
44.56
4.45
SPGI S&P Global Inc
43.51
1.49
COO Cooper Cos Inc
43.39
-7.46
DLPH Delphi Automotive
43.13
5.90
CERN Cerner Corp
43.09
2.01
BCR CR Bard Inc
42.80
-0.79
AVGO Broadcom Ltd
42.60
-4.80
MCO Moody's Corp
42.18
2.48
A Agilent Technologies Inc
42.05
1.95
AAPL Apple Inc
41.60
-7.69
Average
56.36
0.84
The Bespoke Report 9/22/17
For Personal Use Only--Do Not Forward or Redistribute
Page 4 of 31
? Using our Interactive Chart Tool (which you can use at any time for free as well), below are updated one-year charts of the major US index ETFs--SPY, QQQ, and IWM (small caps).
? As shown, SPY remains in a long-term uptrend, QQQ is currently testing its 50-day moving average, and IWM is currently attempting to break out to new all-time highs. An IWM (small caps) breakout is the key action we're watching of these three charts because a breakout for small caps would act as confirmation of the breakout for large caps that we saw last week.
The Bespoke Report 9/22/17
For Personal Use Only--Do Not Forward or Redistribute
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