September 2021 SPDR® Sector & Industry Dashboard

[Pages:10]SPDR? Sector & Industry Dashboard

SPDR Americas Research Team

Commentary

September 2023

The S&P 500 Index recorded its first quarterly loss in a year,1 as the surge in long-term Treasury yields weighed on equity valuations toward the end of the quarter. While Real Estate and Utilities were hit hardest due to their bond-proxy characteristics, Energy bucked the trend on the back of rising oil prices and ended the quarter up 11%.2 Nevertheless, earnings estimates have held up strongly thanks to resilient consumers, materialization of AI-related demand, and residual fiscal stimulus from the CHIPS and IRA Acts.

As we approach the end of the rate hike cycle and long-term yields are at 15-year highs, we favor industries with improved growth prospects supported by specific industry trends at reasonable valuations: Insurance, Oil & Gas Exploration & Production, and Homebuilders.

Sector and Industry Spotlight

XOPSPDR? S&P? Oil & Gas Exploration and Production ETF

KIESPDR? S&P? Insurance ETF

XHB SPDR? S&P? Homebuilders ETF

1 Bloomberg Finance, L.P., as of September 30, 2023. 2 FactSet, as of September 30, 2023.

1

Sector ETF Fund Flow Heatmap

Energy reversed its negative trend in Q3, while investors continue shying away from Health Care.

Current Quarter ($M)

Trailing 6 Months ($M)

Trailing 12 Months ($M)

Communications Consumer Discretionary Consumer Staples Energy Financial Health Care Industrials Materials Real Estate Technology Utilities

253 2,142 -1,709 2,672 -2,010 -2,955

684 -792 571 2,468 -880

2,348 4,026 -1,065 -3,412 -1,955 -3,450

842 -3,348

-503 4,082

-694

2,669 4,414

585 -7,737

9 -3,776 2,285 -1,610 -2,288 6,433 -2,013

Source: Bloomberg Finance, L.P., as of September 30, 2023. This table represents the fund flows into all US listed ETFs based on their sector focus as defined by Bloomberg Finance, L.P. Top two and bottom two sectors per period are highlighted in green and orange, respectively.

Sector Index Returns

Real Estate and Utilities led the market decline in Q3 due to higher real yields, while Energy outperformed thanks to rising oil prices.

Previous Quarter (%)

Trailing 6 Month (%)

Trailing 12 Month (%)

Communication Services Select Sector Index Consumer Disrectionary Select Sector Index Consumer Staples Select Sector Index Energy Select Sector Index Financial Select Sector Index Health Care Select Sector Index Industrial Select Sector Index Materials Select Sector Index Real Estate Select Sector Index Technology Select Sector Index Utilities Select Sector Index S&P 500 Index

2.84 -5.00 -6.61 11.33 -1.59 -3.06 -5.56 -5.25 -9.52 -5.84 -10.10 -3.65

16.02 8.59 -6.79 9.34 3.15 -0.63 0.11 -2.63 -9.22

10.10 -13.03

4.35

37.16 12.62

4.54 25.63

9.47 6.37 22.41 15.61 -5.54 39.70 -10.02 19.59

Source: Bloomberg Finance, L.P., as of September 30, 2023. Top two and bottom two sectors per period are highlighted in green and orange, respectively. Past performance is not a reliable indicator of future performance. Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends. Performance of an index is not indicative of the performance of any product managed by SSGA.

2

Understand the latest market moves by sector momentum, positioning, volatility, correlation and dispersion

Sector Momentum

Tech and Communication Services stocks' momentum has weakened in the short term, while Energy and Consumer Discretionary have gained momentum.

Momentum

Technicals

Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Communication Services Real Estate Utilities

3M

13.20 0.91

15.68 8.35 4.24

11.75 7.77

10.58 9.05 2.50 -3.12

6M

19.01 1.63 6.19 -3.77 4.67 7.16

31.13 1.17

32.38 -3.54 -3.37

12M

10.13 0.66

10.74 4.17 6.76

16.53 31.99 10.05 24.55 -11.60 -15.48

Momentum Z-score

0.66 -0.73 0.50 -0.34 -0.31 0.43 1.17 0.05 1.10 -1.06 -1.48

Last Px % Diff to 50 Day

MVA (%) -3.6 -3.7 1.9 -2.7 -2.6 -3.7 -3.1 -2.9 -1.6 -5.2 -5.4

Last Px % Diff to 200 Day MVA (%) 5.2 -5.9 6.8 -2.1 -2.4 -1.0 7.4 -2.7 11.4 -9.1 -11.7

% Diff Between 50 and 200 Day

MVA (%) 9.1 -2.3 4.8 0.5 0.2 2.8

10.8 0.3

13.2 -4.1 -6.6

Source: Bloomberg Finance, L.P., as of September 30, 2023. Momentum is measured by S&P 500 sectors' price returns, excluding the most recent month. Z-score is calculated using the mean and standard deviation of price returns of eleven sectors for each period. Sector's Momentum z-score is the simple average of the z-score of each period. Top and bottom two sectors in the first four columns are shaded in green and orange, respectively. Positive and negative numbers in the last three columns are shaded in green and orange, respectively. Past performance is not a reliable indicator of future performance.

Sector Positioning

Short interest in Financials and Health Care has declined but remains above historical median. Put/call ratios have increased for most sectors, except Health Care which dropped from the top decile to its lowest level in a year.

Put/Call Volume Ratio

Short Interest as % Shares Outstanding

Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities

Current Level

2.20 1.67 3.78 1.24 2.37 1.00 3.93 1.44 1.95 7.20 1.15

1Yr Percentile Ranking (%) 81 29 77 38 67 0 53 40 11 79 30

Current Level (%) 1.4

14.4 7.8 5.2

11.6 9.3

10.9 2.8

10.7 2.1 9.7

Prior Quarter (%) 1.6

13.4 7.6 5.0

12.1 9.5

11.6 2.4

11.0 2.4

10.3

1Yr Percentile Ranking (%) 4 43 30 61 65 74 52 74 39 17 52

Source: Bloomberg Finance, L.P., as of September 30, 2023. Select Sector SPDR Fund's Put-call volume is used to represent the sector. Short interest of all US listed sector ETFs are used to calculate short interest as % of shares outstanding. Current levels of short interest as % of shares outstanding are in green if short interest decreases from last quarter and in orange if short interest increases from last quarter. Sectors with lowest percentile ranking based on put/call ratio and % of short interest are shaded in green and highest ranking in orange.

3

Sector Implied Volatility Relative to the Broad Market

With the exception of Consumer Staples, all sectors' relative implied volatility declined in Q3 led by Energy, Industrials, and Communication Services.

120 -Yr Percentile Rank ( )

100

98

80

60

61

63

51

40

25 20

12

0 Cons. Disc. Cons. Staples

XLY

XLP

92

42

9 Energy

XLE

95

71

47

41

37

30

34

25

17

Financials Health Care Industrials

XLF

XLV

XLI

Current

3 Months Ago

12 Months Ago

90

56

0 Tech. XLK

94

87

77

74

68

68

48

31

35

Materials XLB

6

3

Comm. Svs. Real Estate

XLC

XLRE

0 Utilities

XLU

Source: Bloomberg Finance, L.P., as of September 30, 2023.

Sector Correlation and Dispersion

Sector dispersion has narrowed to around its historical average as sector leadership shifts.

140 Dispersion ( )

120

100

80

60

40

20

0 Jan 2009

Aug 2010

Apr 2012

Inter-Sector Correlation (90-Day Rolling)

Nov 2013

Jul 2015

6-Month Dispersion

Feb 2017

Oct 2018

May 2020

Jan 2021

Correlation 1.0 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0.0

Sep 2023

Average Correlation Since 2009

Average Dispersion Since 2009

Source: Bloomberg Finance, L.P., as of September 30, 2023. Dispersion is measured as the return differences between the best and worst performing sectors on a trailing 1 year basis. Correlation is the average correlations between each pair of 11 GICS sectors over the 90-day period. Past performance is not a reliable indicator of future performance. Characteristics are as of the date indicated and should not be relied upon as current thereafter.

4

Analyze sector opportunities by examining valuation, earnings growth and sentiment

Sector Valuations Z-score Despite recent strong performance, Energy valuations remain attractive.

Q2 2023 S&P 500 Sector Earnings Resilient consumer spending supported Consumer Discretionary Q2 results.

2.0 1.5 1.0 0.5 0.0 -0.5

Valuation Relative to the S&P Expensive Valuation

Attractive Valuation

Financials

Real Estate

Cons. Staples Health Care

Utilities

Industrials

Energy

Materials

Communication

-1.0 -1.5

Cons. Disc.

-2.0

Technology

-2.5 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0

Valuations Relative to Sector History

Source: FactSet, as of September 30, 2023. Sectors are represented by the S&P 500 GICS Sector Index. Z-scores are the average of the percentile ranking of sector trailing price-to-earnings (P/E), next twelve month price-to-earnings (NTM P/E), price-to-book (P/B) and price-to-sales (P/S) over the past 15 years. Sectors with cheaper valuation will have higher z-scores.

Expensive Valuation

Attractive Valuation

25 Earnings Surprise ( ) 20

Cons. Disc.

15

Utilities

S&P

10

Tech.

Materials

Industrials

5

Health Care

Energy

0

-60

-40

-20

Comm. Svs. Cons. Staples Financials

Real Estate

0

20

40

60

Q Earnings Growth ( )

Source: FactSet, as of September 30, 2023. Sectors are represented by the S&P 500 GICS Sector Index.

Earnings Revision Negative earnings revisions in Energy have not reflected recent strong oil prices.

Cons. Disc. Consumer Staples Energy Financials Health Care Industrials Info.Technology Materials Comm. Svs. Real Estate Utilities

2023 Earnings Est.

2023 Sales Est.

Upgrade to Downgrade

Ratio

Revision Upgrade to (%) in 3M Downgrade

Ratio

Revision (%) in 3M

1.89

8.54

1.48

1.49

1.47

0.29

0.90

-0.09

0.28

-1.59

0.35

-1.15

0.94

5.80

1.29

-0.61

1.17

-5.67

2.25

0.36

1.70

-0.55

1.88

0.44

1.95

2.92

1.03

0.45

0.61

-3.44

0.32

-3.50

1.56

3.12

0.44

0.49

2.11

3.98

1.64

0.24

1.00

-0.56

0.87

-0.46

Source: FactSet, as of September 30, 2023. Sectors are represented by the S&P 500 GICS Sector Index. Top and bottom two sectors in each column are highlighted in green and orange, respectively. The above estimates are based on consensus analyst estimates compiled by FactSet . There is no guarantee that the estimates will be achieved.

Analyst Sentiment Analysts remain bullish on this year sector leaders -- Tech, Consumer Discretionary, and Communication Services -- as their price targets were raised by the largest margin.

70 of Buy Ratings

Price Target Change ( ) 20

60

15

50 10

40 5

30

0 20

10

-5

0

-10

Tech. Financials Health Care

Utilities S& P Materials Comm. Svs. Real Estate Industrials Cons. Staples Cons. Disc.

Energy

% of Positive Rating

Price Target Change Since 06/30/2023

Source: FactSet, as of September 30, 2023. Sectors are represented by the S&P 500 GICS Sector Index.

5

SPDR Sector and Industry Fundamental Data

ETF

ETF Name

Kensho

Price to

Book

Price to Earnings

(FY1)

Fundamentals

Return on

Equity

LT Debt to Capital

(%)

EST 1 Year EPS

Growth

EST 3?5 Years EPS Growth

International Exposure

% Foreign Sales

Macro Sensitivies (Beta)

Fund Information

US $ (36 Mth)

US 10 Year

Yield (36 Mth)

Brent Crude

Oil (36 Mth)

AUM ($M)

3 Month Fund Flow

($M)

3 Month Average

Daily Notional Volume

($M)

KOMP SPDR Kensho S&P New Economies ETF

FITE

SPDR S&P Kensho Future Security ETF

ROKT SPDR S&P Kensho Final Frontier ETF

CNRG SPDR S&P Kensho Clean Power ETF

HAIL

SPDR S&P Kensho Smart Mobility ETF

SIMS

SPDR S&P Kensho Intelligent Structures ETF

Industry

2.03 3.05 2.60 1.48 1.87 2.60

17.0 22.8 20.9 13.4 12.5 19.6

1.0 32.81

56.08 16.8

5.9 37.21

25.40 16.0

12.1 44.06

-59.34 11.8

10.7 2.9

44.90 34.21

73.82 1,032.61

18.9 19.0

14.5 35.31

0.97 13.1

39.13 -1.99

-0.20

0.24

1,617

21

4

37.56 -1.01

-0.14

0.15

32

1

0.2

35.75 -1.61

-0.11

0.30

16

0

0.0

29.32 -1.70

-0.21

0.17

248

-14

1.3

46.06 -2.28

-0.28

0.34

46

-3

0.2

32.18 -1.73

-0.21

0.26

20

0

0.0

XBI XHS

XHE

XPH XSD XSW XWEB XITK

XNTK

SPDR S&P Biotech ETF SPDR S&P Health Care Services ETF SPDR S&P Health Care Equipment ETF SPDR S&P Pharmaceuticals ETF SPDR S&P Semiconductor ETF SPDR S&P Software & Services ETF SPDR S&P Internet ETF SPDR FactSet Innovative Technology ETF SPDR NYSE Technology ETF

3.21 2.13

2.76

2.42 3.59 4.09 2.69 3.48

6.06

17.9 15.5

-24.7 8.3

34.43 46.07

21.2

-1.9 32.92

9.8 22.9 25.4 22.8 29.3

10.9 18.7 -7.6 -7.2 -4.4

41.56 26.40 39.53 74.06 27.67

26.9 20.6 30.51

-32.69 1.28

2.0 11.8

13.92 12.5

4.47 -57.77

4.99 -133.30

-15.49

8.5 14.4 18.6 -15.5 22.7

222.38 30.7

15.68 2.86

-0.87 -1.35

30.25 -1.65

26.93 75.86 32.64 31.93 42.95

-1.06 -2.12 -1.26 -1.64 -1.80

56.11 -1.85

-0.14 -0.16

-0.03 0.18

-0.16

0.14

-0.08 -0.37 -0.22 -0.21 -0.34

0.15 0.02 0.09 0.21 0.05

-0.32

0.06

5,254 97

370

194 1,380

293 21 93

534

-273 0

521.4 0.7

-95

6.3

-19

1.6

-22

12.5

2

1.6

-1

0.1

-4

0.5

16

1.9

6

SPDR Sector and Industry Fundamental Data (Cont'd)

ETF

ETF Name

Industry (Cont'd)

Price to

Book

Price to Earnings

(FY1)

Fundamentals

Return on

Equity

LT Debt to Capital

(%)

EST 1 Year EPS

Growth

EST 3?5 Years EPS Growth

International Exposure

% Foreign Sales

Macro Sensitivies (Beta)

Fund Information

US $ (36 Mth)

US 10 Year

Yield (36 Mth)

Brent Crude

Oil (36 Mth)

AUM ($M)

3 Month Fund Flow

($M)

3 Month Average

Daily Notional Volume

($M)

XOP

XES

XRT XHB XTL XAR

XTN XME KRE KIE KCE KBE Sector

SPDR S&P Oil & Gas Exploration & Production ETF SPDR S&P Oil & Gas Equipment & Services ETF SPDR S&P Retail ETF

SPDR S&P Homebuilders ETF SPDR S&P Telecom ETF SPDR S&P Aerospace & Defense ETF SPDR S&P Transportation ETF SPDR S&P Metals and Mining ETF SPDR S&P Regional Banking ETF SPDR S&P Insurance ETF SPDR S&P Capital Markets ETF SPDR S&P Bank ETF

1.64

1.93

2.07 2.84 1.28 2.82

1.87 1.55 0.87 1.66 2.44 0.94

8.9

14.1

11.3 12.1 10.0 22.9

13.5 9.9 7.7

11.1 15.4

7.8

40.6 33.88

3.6 33.36

26.6 34.5

6.7 8.0

57.41 47.50 47.69 46.62

17.5 20.5 12.3

9.9 17.7 14.1

43.67 25.70 16.61 32.42 38.32 23.76

-31.81

8.6

205.17 29.2

42.26 -3.27 126.08 17.28

10.8 8.2 9.2 9.4

1.00 -46.23

-7.82 5.36 20.84 0.15

7.7 -3.3 4.5 15.5 11.1 6.6

11.68 -1.52

47.43 -2.57

10.28 16.94 32.92 25.34

-1.41 -1.73 -1.19 -1.58

15.75 34.50

1.77 21.33 19.70

5.40

-1.75 -2.40 -1.35 -1.17 -1.88 -1.44

0.19

0.18

-0.07 -0.28 -0.18 -0.11

-0.08 -0.04 0.12 0.00 -0.18 0.07

0.89

1.07

0.19 0.04 0.13 0.32

0.24 0.44 0.38 0.25 0.22 0.36

3,586

427

380 1,176

56 1,431

203 1,672 2,500

589 315 1,087

0 563.8

101

11.3

-116 -102

0 30

325.1 256.3

0.6 7.0

-15 -127 -495

95 179 -288

1.8 139.7 664.6

36.7 4.1

102.4

XLC

XLRE

XLU XLF XLE XLY

XLP

Communication Services Select Sector SPDR Fund

Real Estate Select Sector SPDR Fund

Utilities Select Sector SPDR Fund

Financial Select Sector SPDR Fund

Energy Select Sector SPDR Fund

Consumer Discretionary Select Sector SPDR Fund

Consumer Staples Select Sector SPDR Fund

2.80

2.57

1.77 1.75 2.33 5.59

4.40

17.3

32.4

15.6 13.8 11.4 23.8

18.4

15.5 32.63

17.9 51.75

8.6 13.4 31.9 21.9

52.86 37.53 29.02 61.97

26.3 48.99

21.49 19.2

-13.04

7.9

-43.41 13.20 -17.10 890.74

-1.1 10.8 10.5 26.9

6.25

7.6

39.65 -2.00

16.65 -1.32

1.20 28.08 36.36 36.55

-1.05 -1.72 -1.56 -1.26

39.52 -0.84

-0.24

0.12 13,208

-76 371.3

-0.18

0.10

4,022

-98 186.8

-0.08 -0.10 0.10 -0.26

-0.01 0.31 0.72 0.12

12,566 30,342 38,280 17,456

-562 925.3 -1,440 1,345.4 1,671 1,666.1 1,199 793.2

-0.12

0.04 16,099

65 811.0

7

SPDR Sector and Industry Fundamental Data (Cont'd)

ETF

ETF Name

Sector (Cont'd)

Price to

Book

Price to Earnings

(FY1)

Fundamentals

Return on

Equity

LT Debt to Capital

(%)

EST 1 Year EPS

Growth

EST 3?5 Years EPS Growth

International Exposure

% Foreign Sales

Macro Sensitivies (Beta)

Fund Information

US $ (36 Mth)

US 10 Year

Yield (36 Mth)

Brent Crude

Oil (36 Mth)

AUM ($M)

3 Month Fund Flow

($M)

3 Month Average

Daily Notional Volume

($M)

XLV Health Care Select Sector SPDR Fund

XLK Technology Select Sector SPDR Fund

XLI

Industrial Select Sector SPDR Fund

XLB Materials Select Sector SPDR Fund

4.42 8.78 4.54 2.70

18.3 25.9 18.3 17.7

28.0 42.39

31.5 40.89

31.0 22.6

49.50 36.38

0.29

8.7

33.41 13.5

9.50 -3.56

11.2 8.2

34.03 -1.05

56.19 -1.52

32.62 52.01

-1.62 -1.89

-0.14 -0.33 -0.13 -0.14

0.14 37,666 -2,057 1,207.3

0.03 48,126

602 1,054.3

0.17 0.16

14,281 4,878

422 -682

954.6 463.5

Source: Bloomberg Finance, L.P., FactSet, as of September 30, 2023. Past performance is not a reliable indicator of future performance. Fundamentals and Beta sensitivities are calculated using weighted average of underlying holdings' characteristics and beta sensitivity. Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter. Estimated Earnings Per Share (EPS), which are based on a consensus of analyst estimates, should not be construed as an indication of the current or future profitability of any investment product. Actual earnings per share may differ, even substantially, from that of estimated earnings per share. Blue shades are the funds included in the sector and industry spotlight.

8

 ................
................

In order to avoid copyright disputes, this page is only a partial summary.

Google Online Preview   Download