This week the market, as measured by the S&P 500 Index, had a positive return of 1.07% return, trading at an annualized 3.0% volatility.
The weekly sector performances, as measured by the S&P 500 sector indices were:
|
From August 3, 2012 to August 10, 2012 |
|
Sector |
Index |
Return |
Return over S&P |
Volatility |
Correlation to S&P 500 |
|
Materials |
MAT |
2.83% |
1.76% |
7.9% |
60.0% |
|
Energy |
ENE |
2.34% |
1.27% |
7.7% |
84.4% |
|
Technology |
TEC |
2.10% |
1.03% |
5.5% |
80.9% |
|
Industrials |
IND |
1.33% |
0.26% |
6.8% |
90.7% |
|
Discretionary |
CDI |
0.74% |
-0.33% |
8.2% |
94.2% |
|
Telecom |
TEL |
0.61% |
-0.46% |
6.6% |
-32.3% |
|
Financials |
FIN |
0.59% |
-0.48% |
4.1% |
98.8% |
|
Healthcare |
HEA |
0.50% |
-0.57% |
4.2% |
-37.7% |
|
Staples |
CST |
-0.44% |
-1.51% |
6.4% |
-48.5% |
|
Utilities |
UTL |
-0.87% |
-1.94% |
7.7% |
-81.1% |
|
S&P 500 |
S&P |
1.07% |
0.00% |
3.0% |
100.0% |
This week S&P 500 return came in a steady weekly rise with a remarkably low 3% volatility with several sectors exhibiting a negative correlation to the index.
Strong and solid winners were Materials, Energy and Technology sectors with a significant over one percent outperformance over the index. The Industrials sector was not as strong, but still managed to provide a positive excess return.
The major losers were Utilities, Staples and Healthcare sectors. With financials, Telecom and Discretionary sectors slightly underperforming the index.
Contrary to previous several weeks, it seems that this week "established" a recovery rally. I would be of course careful in this assessment and the volume was August light. Either the investors are sensing another easing by the Fed or they had a volatility fatigue.
The volatility index closed the week at 14.74, lowest it has ever been in months. Are investors complacent or is this the beginning of nice rally?
Comparing these numbers to last week, we could easily say that this week's mini rally was broadly based on cyclical sectors performing on expectations of growing economy, better than last week's showing:
|
From July 27, 2012 to August 3, 2012 |
|
Sector |
Index |
Return |
Return over S&P |
Volatility |
Correlation to S&P 500 |
|
Technology |
TEC |
1.52% |
1.16% |
16.2% |
95.7% |
|
Telecom |
TEL |
0.59% |
0.23% |
9.2% |
3.8% |
|
Financials |
FIN |
0.45% |
0.09% |
22.0% |
99.1% |
|
Staples |
CST |
0.45% |
0.09% |
15.6% |
94.4% |
|
Industrials |
IND |
0.31% |
-0.05% |
18.3% |
98.1% |
|
Energy |
ENE |
0.28% |
-0.08% |
24.7% |
91.5% |
|
Discretionary |
CDI |
0.10% |
-0.26% |
19.0% |
84.7% |
|
Materials |
MAT |
-0.06% |
-0.42% |
18.4% |
97.5% |
|
Utilities |
UTL |
-0.72% |
-1.09% |
14.0% |
89.4% |
|
Healthcare |
HEA |
-0.96% |
-1.32% |
13.6% |
96.5% |
|
S&P 500 |
S&P |
0.36% |
0.00% |
16.6% |
100.0% |
As much as I would like to say that we turned the corner (in the near term), I am being cautious. This rally just does not "feel" like it can be sustained, as the sector fundamental values do not show it.
It could just be that we had bad news fatigue and we experienced a relief rally where we did not get bad news for over a week and we could breathe easier, at least for now.
__
Month to Date and Year to Date sector performances are provided for comparison.
|
From June 29, 2012 to August 10, 2012 |
|
MTD Sector Performance |
Index |
Return |
Return over S&P |
Volatility |
Correlation to S&P 500 |
|
Energy |
ENE |
7.72% |
4.51% |
18.8% |
86.2% |
|
Telecom |
TEL |
5.26% |
2.05% |
16.1% |
63.1% |
|
Technology |
TEC |
4.31% |
1.10% |
16.7% |
88.7% |
|
Industrials |
IND |
2.64% |
-0.57% |
16.4% |
92.3% |
|
Staples |
CST |
2.45% |
-0.76% |
10.4% |
83.2% |
|
Materials |
MAT |
2.06% |
-1.15% |
16.1% |
88.0% |
|
Discretionary |
CDI |
2.06% |
-1.15% |
14.5% |
89.3% |
|
Financials |
FIN |
1.82% |
-1.39% |
17.0% |
88.7% |
|
Healthcare |
HEA |
1.63% |
-1.58% |
13.3% |
86.9% |
|
Utilities |
UTL |
1.32% |
-1.89% |
10.5% |
72.6% |
|
S&P 500 |
S&P |
3.21% |
0.00% |
13.3% |
100.0% |
|
From December 30, 2011 to August 10, 2012 |
|
YTD Sector Performance |
Index |
Return |
Return over S&P |
Volatility |
Correlation to S&P 500 |
|
Telecom |
TEL |
19.30% |
7.51% |
12.5% |
58.6% |
|
Technology |
TEC |
17.56% |
5.77% |
16.6% |
90.6% |
|
Financials |
FIN |
14.68% |
2.89% |
19.7% |
90.6% |
|
Discretionary |
CDI |
14.37% |
2.58% |
14.8% |
90.4% |
|
Healthcare |
HEA |
11.45% |
-0.34% |
11.1% |
88.4% |
|
Staples |
CST |
9.59% |
-2.20% |
8.9% |
78.8% |
|
Industrials |
IND |
8.87% |
-2.92% |
16.3% |
93.8% |
|
Materials |
MAT |
7.48% |
-4.31% |
18.1% |
90.4% |
|
Energy |
ENE |
4.09% |
-7.70% |
18.6% |
87.6% |
|
Utilities |
UTL |
3.99% |
-7.80% |
9.3% |
51.1% |
|
S&P 500 |
S&P |
11.79% |
0.00% |
13.4% |
100.0% |
__
At the time of writing Rockledge had long and short positions in SPY, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY
