S&P 500 First Day Of Month Tendency

Mar 31, 2011 in S&P 500

Quick shot of how often S&P 500 has traded up vs down on first trading day of a new month.   While the S&P 500 has traded up more often than down, 2010 was not a 'normal' year.   Remember not to draw conclusions off just recent experience.  

 

 

Snapshot of 25 Exchange Traded Products -- Total Return For Q1 2011

 

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Various ETF Performances From The Past 2 Years on S&P 500 Down Days

Jan 19, 2011 in S&P 500

As we enter a period of higher volatility after a long sustained move up in equities, we ran some statistics on 25 of the largest ETFs in the world to see how they performed on a relative basis when the S&P drops X%.  

In this case, we chose to use 10 S&P pts, which works out to about 0.75%.  How did various ETFs perform on just those particular down days?  

Since the March 2009 low, the S&P 500 has dropped in excess of -0.75% eighty-five times.  The average S&P 500 loss for these 85 days was -1.68%.   Here are some results for 25 ETFs which summarize their performance on just those 85 days:

 

You can see that among the worst for this period were REITs (VNQ), U.S. financials (XLF),  Brazil (EWZ) and U.S. Small Cap Stocks (IWM).    It makes sense, these are all higher volatility market segments. Technology stands out for doing a bit better than you might have expected.

 

Bond indexes have low standard deviation and low correlation to U.S. stocks so they generally rose --- but as you can see, very modestly and not nearly enough to offset much of the loss in equities.

 

Gold, Preferred Stocks and High-Yield Bonds all show losses on average -- but more modest losses given their lower correlations with stocks.   Dividend ETFs (DVY, SDY) were down on all 85 days (85 for 85) -- which isn't a big surprise.   The dividend indexes didn't do particularly well on a relative basis however and lost almost as much as the S&P 500.

Now let's look at todays (Jan 19th) drop in various markets:

At the bottom of the list of todays (1-Day) performance are the exact same ETFs as the first list. 

A couple of ideas here:

1) If you think you are going to get any diversification benefit from owning REITs in a down S&P market, we would tend to doubt that.

2) Bonds don't provide much absolute protection in S&P 500 down days --- but they do obviously serve their purpose of stabilizing a portfolio.

3) Dividend stocks may offer only modest protection in down markets. 

Note that the China ETF (FXI) went up slightly today -- so there is the outlier of the day (of course no conclusion to draw here off 1 day of data).

Summary: it helps to study volatility and down markets. Todays performance was quite consistent with the same relative stats of the last two years.

 

Update: The first screenshot is now available in application form -- because it runs by auto-loading your user-created portfolios, it needs a login to access the page: ETFreplay Tools Page

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How many market segments are beating the S&P 500?

Oct 29, 2010 in S&P 500

Recently, it's been discuseed how just a few stocks were driving most of the gain in the S&P 500. I heard the numbers used were something like 30% of the gain in the S&P 500 this year was being driven by just 5 stocks -- and that this implies a narrow market. Obviously, this is a very U.S. centric view of the world and is not how most forward-looking advisers view the investment landscape.

It also begs the question, how many market segments as defined by ETFs are beating the S&P 500 this year? To come up with a reasonable list -- we used an adjusted Ameritrade list (we took off a few of the most illiquid arcane ETFs and replaced with GLD, IWM, DBA & MOO -- 4 pretty core ETFs we feel should have been on the list in the first place)

 

The answer is that 65 of the 100 below are beating the S&P 500 YTD through the end of October. All figures are total return (dividend and distribution adjusted).

If we had bought all 100 on 12/31/09 at 1.0% (equal-weighted), the portfolio would be +9.9% YTD vs +7.9% for the S&P 500.

 

    YTD%
1 VNQ Vanguard Morgan Stanley REIT   25.1 %
2 RWR SPDR Dow Jones REIT   24.4 %
3 EPI WisdomTree India Earnings Index   23.9 %
4 GLD SPDR Gold Shares   23.6 %
5 RWO SPDR Dow Jones Global Real Estate   20.5 %
6 EWX S&P Emerging Markets Small Cap   19.5 %
7 RWX SPDR DJ International Real Estate   18.3 %
8 VSS Vanguard FTSE World ex-US Small Cap   17.5 %
9 EDV Vanguard Extended Duration Tsy (25+yr)   16.8 %
10 VBK Vanguard MSCI U.S. Small Cap Growth   16.8 %
11 VOT Vanguard MSCI U.S. Midcap Growth   16.8 %
12 PCY PowerShares Emerging Mkts Bond (7-8yr)   16.5 %
13 MOO Market Vectors Agribusiness   16.2 %
14 IWO iShares Russell 2000 Growth   15.4 %
15 IJH iShares S&P MidCap 400 Index   15.3 %
16 IWS iShares Russell Midcap Value   15.2 %
17 VXF Vanguard Extended Market ETF   15.2 %
18 TLT iShares Barclays Long-Term Treasury (15yr)   15.2 %
19 VO Vanguard MSCI U.S. Mid Cap   15.2 %
20 VB Vanguard MSCI US Small Cap   15.2 %
21 VGLT Vanguard Long-Term Gov't Bond (14-15yr)   15.1 %
22 IWP iShares Russell Midcap Growth   14.9 %
23 VWO Vanguard MSCI Emerging Markets   14.3 %
24 IWC iShares Russell Microcap Index   14.3 %
25 BLV Vanguard Long-Term Gov't+Credit (12+yr)   13.8 %
26 VBR Vanguard MSCI U.S. SmallCap Value   13.6 %
27 IWM iShares Russell 2000 Index Fund   13.5 %
28 VCIT Vanguard Interm Corp Bond (6-7yr)   13.4 %
29 IJR iShares S&P SmallCap 600 Index   13.4 %
30 VCLT Vanguard Long-Term Corp Bond (12+yr)   13.2 %
31 BIV Vanguard Investment Grade-Credit (6-7yr)   13.2 %
32 JNK SPDR Barcap High-Yield Junk Bond (5-7yr)   13.0 %
33 VOE Vanguard U.S. Midcap Value   13.0 %
34 SCZ iShares MSCI EAFE Small Cap Index   13.0 %
35 AAXJ iShares MSCI Asia ex-Japan   12.5 %
36 DBA DB Agricultural Commodities Index   12.3 %
37 GXC SPDR S&P China   12.3 %
38 IWN iShares Russell 2000 Value Index   12.2 %
39 LQD iShares iBoxx Invest Grade Bond (7-8yr)   12.0 %
40 IJS iShares S&P SmallCap 600 Value   11.7 %
41 GUR SPDR S&P Emerging Europe   11.3 %
42 ILF iShares S&P Latin America   10.9 %
43 VGIT Vanguard Interm-Term Gov't Bond   10.7 %
44 EWC iShares MSCI Canada Index Fund   10.6 %
45 AOA iShares 90-10 S&P Aggressive Allocation   10.3 %
46 VUG Vanguard MSCI U.S. LargeCap Growth   10.0 %
47 RSX Market Vectors DAXglobal Russia   9.9 %
48 IEI iShares Barclays 3-7 Yr Tsy Bond (4-5yr)   9.6 %
49 TIP iShares Barclays TIPS (4-6yr)   9.5 %
50 IWF iShares Russell 1000 Growth   9.3 %
51 VTI Vanguard MSCI Total U.S. Stock Market   9.2 %
52 CIU iShares Barclays Intermed Credit (4-5yr)   9.0 %
53 IWV iShares Russell 3000 Index Fund   8.9 %
54 VIG Vanguard Dividend Appreciation   8.6 %
55 MGK Vanguard U.S. Mega Cap 300 Growth   8.5 %
56 IWB iShares Russell 1000 Index Fund   8.5 %
57 BKF iShares MSCI BRIC Index Fund   8.3 %
58 BWX SPDR Barcap Global Ex-U.S. Bond (6-7yr)   8.3 %
59 EWA iShares MSCI Australia Index Fund   8.2 %
60 EFG iShares MSCI EAFE Growth Index   8.1 %
61 VYM Vanguard High Dividend Yield Index   8.1 %
62 BND Vanguard Total Bond Market (4-5yr)   8.0 %
63 AGG iShares Barclays Aggregate Bond (4-5yr)   8.0 %
64 WIP SPDR Int'l Govt Infl-Protect Bond (9-10yr)   7.9 %
65 VT Vanguard Total World Stock Index   7.9 %
66 IVV iShares S&P 500 Index Fund   7.9 %
67 VEU Vanguard FTSE All-World ex-US   7.8 %
68 EWG iShares MSCI Germany Index   7.7 %
69 IWD iShares Russell 1000 Value   7.7 %
70 FXI iShares FTSE China 25 Index Fund   7.6 %
71 AOR iShares 60-40 S&P Stock-Bond Allocation   7.5 %
72 GVI iShares Barclays Interm Gov't+Credit (4yr)   7.4 %
73 EWU iShares MSCI United Kingdom Index   7.1 %
74 ACWI iShares MSCI All-World ACWI Index   7.0 %
75 VTV Vanguard MSCI U.S. LargeCap Value   6.7 %
76 IVE iShares S&P 500 Value Index Fund   6.7 %
77 VMBS Vanguard Mortgage-Backed Bonds (2-3yr)   6.4 %
78 VCSH Vanguard Short-Term Inv Grd Bond (2-3yr)   6.3 %
79 MBB iShares Barclays MBS Bond Fund (2.8yr)   6.3 %
80 TFI SPDR Nuveen Barclays Muni Bond (9-10yr)   6.2 %
81 AOM iShares 40-60 S&P Moderate Allocation   6.1 %
82 MUB iShares S&P National Muni Bond (2-3yr)   5.6 %
83 VGK Vanguard MSCI Europe   5.4 %
84 DJP Dow Jones-AIG Commodity Index   5.2 %
85 VEA Vanguard MSCI Euro Pacific   5.1 %
86 BSV Vanguard Short-Tm Bond Mix (2-3yr)   4.9 %
87 EWZ iShares MSCI Brazil Index Fund   3.7 %
88 EWJ iShares MSCI Japan Index Fund   3.6 %
89 CSJ iShares Barclays 1-3 Year Credit (2yr)   3.2 %
90 EFV iShares MSCI EAFE Value Index   3.0 %
91 VGSH Vanguard Short-Term Gov't Bond (2yr)   2.7 %
92 IOO iShares S&P Global 100 Index Fund   2.7 %
93 SHY Barclays Low Duration Treasury (2-yr)   2.7 %
94 SHM SPDR Short-Term Municipal Bond (2-3yr)   2.6 %
95 DBC PowerShares DB Commodity Index   2.3 %
96 EWQ iShares MSCI France   0.2 %
97 FEZ SPDR Euro STOXX 50   -3.3 %
98 EWI iShares MSCI Italy Index   -6.8 %
99 EWP iShares MSCI Spain Index   -7.9 %
100 DBO PowerShares DB Oil Fund   -8.1 %

 

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ETF Performance Analysis for S&P -2.0% Day -- April 27, 2010

Apr 28, 2010 in S&P 500 | Screener | Volatility

Volatility spiked on April 27th, lets take a closer look.

First note that while the S&P 500 dropped -2.0%, the higher volatility ETF's are in steeper drawdowns:

What performed well? The usual suspects --- those with negative correlations to equities, including the VIX ETF's, the inverse ETFs from ProShares, long duration US treasuries, precious metals, the U.S. Dollar and the Japanese Yen.

 

The last chart goes back to focus on U.S. Sector SPDR ETF's. Note again that those with higher volatilities led to largest drawdowns.

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Credit Spreads and S&P 500 Review Chart

Apr 24, 2010 in Credit Spreads | S&P 500

A look at corporate bonds vs treasuries with S&P 500 overlay.

Note that this relationship can only be viewed if your database calculates total return (re-calculating the data series to adjust for dividends and distributions). No other websites do this but ETFreplay.com

 

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S&P 500 Dividends

Feb 03, 2010 in S&P 500 | Yield

Historical dividend yield for the S&P 500.   The decade began with very low yield and increased sharply as dividends (and earnings) grew.

 

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S&P vs European Stocks

Jan 06, 2010 in S&P 500

 Difference Was Essentially The Currency Effect

 

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