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SP500 valuations

Hmm, what's going on?

With a starting point of six months ago, CAPE and SP500 performance is close to identical,

Starting from 5/4/3/2/1mo, though, CAPE (which algorithmically value-churns every month) lags notably.

There must be a story here.

Comments

  • Do you keep track of which sectors its in each month? I don't but I think it has been Technology, Healthcare, Industrials and Consumer Discretionary for a while now and at least for most of the last 6 months. That's just my recollection based on the few times I have checked and an assumption that there haven't been a lot of flips in and out.

    Consumer Discretionary has been a bad place to be for the last 6 months compared to the S&P and when they rebalance each month more money goes in and then that sector underperforms again. The other sectors have had good/great months and not so good months but overall they mostly seem pretty competitive with the S&P and in some cases pretty clearly better.

    Consumer Discretionary trailed the S&P:

    -1.26 vs 0.62 in September
    -1.86 vs. 0.31 in August
    1.93 vs. 2.06 in July
    -1.26 vs. 0.62 in June
    1.10 vs. 1.41 in May

    and it won 2.4% vs. 1.03% in April

    I used the Select SPDR etf because I think that's what the index and fund are based on and I think that's carrying almost all of the blame for the relative performance the last 6 months.
  • tyvm, I bet this is correct
  • edited September 2017
    Per the Aug 31 stats, those are the four, and discretionary is the laggard. My question is why it wasn't knocked out by the poor momentum factor. Was energy the other sector in the top-5 value department, and so it was the one knocked out instead of discretionary?
  • Another sector (not "the" other one) knocked out was consumer staples (one of the four in the index in July). The one replacing it in August was industrials.
    https://barxis.barcap.com/US/7/en/etnsnapshot.app?instrumentId=174066 (July 2017)

    The SPDR Sector figures above are price figures, not NAV figures (though there's not much difference). I figure the latter should be a little more accurate if what one is interested in is how the sector performed as opposed to how one would have done by investing in the particular ETF.

    With that in mind, here are the NAV figures for XLP (consumer staples), XLY (consumer discretionary), and S&P 500 total return, from M*:

    Month XLP XLY S&P
    Sept -0.64 0.82
    Aug -1.06 -1.84 0.36
    July 0.66 1.86 2.06
    June -2.28 -1.21 0.62
    May 2.70 1.11 1.41
    Apr 1.05 2.42 1.03
    Mar -0.40 2.04 0.12
    (M*'s XLY's NAV figure for Sept looked way off; I used price performance here.)

    As you can see, consumer stocks didn't fare well, whether necessities (staples) or discretionary.
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