Current amp Emerging Opportunities In Relative Performance January 16 2015 1 Sector Watch Understanding Our Metrics We utilize the 9 Select Sector SPDR ETFs for all of our price and asset flowbased metrics ID: 430906
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Slide1
Sector WatchCurrent & Emerging Opportunities In Relative Performance
January 16, 2015Slide2
1
Sector Watch
Understanding Our Metrics
We utilize the 9 Select Sector SPDR ETFs
for all of our price- and asset flow-based metrics.
We track and analyze each sector’s quarterly momentum vs. the S&P 500
, which typically oscillates between technically overbought and oversold relative extremes, to help determine
when
intermediate term relative
performance trends are beginning and ending
.
We track the percentage of sector bet-related assets invested in each sector
to : 1) identify historic over-
and
under-invested extremes, and 2) determine
where the money is
going
now (which
sectors are accumulating assets and which are shedding
them).
We also track the total daily assets invested in each sector ETF
on an outright basis to determine potential peaks and bottoms in price.
These
metrics
collectively help
us to identify potential intermediate term, 1-2 quarter
overweight/underweight opportunities, as well as the optimum timing for entries
and
exits.Slide3
Sector Watch: Asbury’s Current BiasOur Model’s Current Bias as of January 16th
2
The table above lists our model’s current bias for relative sector outperformance (green background), underperformance (red background), and market performance (blue background) versus the S&P 500 in the 9 sectors of the S&P 500 as represented by the
Select Sector SPDR ETFs
. The table includes the date that we initiated the call, relative sector performance since then, and in the rightmost column Asbury’s
performance-to-date relative
to the direction of the call. Slide4
Sector Watch: Asset FlowsHistoric vs. Current Asset Flows: Energy & Materials Under-Invested, Consumer Discretionary &
Health Care Over-Invested
3
This chart shows the
historic daily average distribution
of investor assets in the 9 Sector SPDR ETFs since our data series began on
May
31
st
, 2006.
This chart displays
the current distribution of these
assets through
January 14
th
. The most under-invested sectors are currently, in order, Energy, Materials, and Utilities. The most over-invested sectors are Consumer Discretionary, Health Care, and Industrials.Slide5
Sector Watch: Asset Flowsinvestor Assets Moving Into Consumer Discretionary, Out Of Industrials
4
The sector with
the
biggest
inflow
of ETF-related investor assets
during
the past
7 days has been Health Care. The biggest inflows over the past 1 month and 3 month periods have been into Consumer Discretionary. The biggest outflow of assets during the past 7 days has come from Energy.Slide6
5
However, as long as
the percentage of assets allocated to Utilities
continues to expand, and remains above its quarterly moving average,
recent relativ
e sector outperformance is likely to continue
.
Sector Watch:
Outperform
Utilities: as of October 20th
2014
This chart shows that the Utilities Sector SPDR ETF
(XLU) is
hovering at
quarterly
overbought extremes versus the S&P 500 (SPY),
warning of its
v
ulnerability to upcoming relative sector underperformance
.Slide7
6
However
,
weekly momentum in the relative performance line between XLY and SPY still remains positive.
A negative shift in momentum, amid a contraction in assets invested, would be necessary to confirm a significant bearish reversal.
Sector Watch:
Outperform
Consumer Discretionary: as of
December 1
st 2014
The percentage of ETF-related sector bets allocated to Consumer Discretionary (XLY)
is 10%,
double
its historic average per Slide 3.
Previous similar extremes have preceded periods of relative sector underperformance.Slide8
7
2014
relative underperformance by the Energy Sector SPDR ETF (XLE) versus SPY has resulted in
the most extreme quarterly oversold condition in a decade
.
Similar
but lesser extremes have
led periods of relative
sector outperformance.Sector Watch: Outperform
Energy: as of
January 5th
The late December expansion in the percentage of sector bet assets allocated to Energy must resume --
and quickly
-- to suggest that a new trend of relative sector outperformance is emerging.Slide9
8
Meanwhile,
the negative divergence between the relative performance line between XLK and SPY and the weekly MACD indicator shows
a negative shift in quarterly momentum, toward underperformance
.
Sector Watch: Underperform
Technology: as of
January 5th
The
percentage
of ETF-related sector bet assets allocated to Technology
have been in a quarterly trend of
contraction
since October, which
typically coincides with or leads an intermediate term trend of relative sector underperformance
.Slide10
9
Meanwhile, recent relative sector underperformance has turned the weekly MACD downward, which also suggests
an emerging intermediate term trend of more relative underperformance
by Financials.
Sector Watch:
Underperform
Financials: as of
January 16th
The recent contraction in the percentage of sector bet assets allocated to Financials (XLF) has turned the quarterly trend to one of contraction,
warning of more relative weakness in Q1 2015
.Slide11
10
The Materials Sector SPDR ETF (XLB) is
starting to
rise from
quarterly
oversold extremes versus the S&P 500 SPDR (SPY
).
Previous similar extremes led
every significant period of relative sector outperformance since 2010
. Sector Watch: Market PerformMaterials: as of November 12th
However,
significant and
sustained sector
outperformance
is unlikel
y
until
the percentage of sector bet-related investor assets allocated to Materials expands
back above its quarterly moving
average – which it has been below since June 2014.Slide12
11
The
total assets invested in the Industrials Sector SPDR ETF (XLI) have been contracting since December 10
th
.
Similar contractions in June and September 2014 triggered the previous two declines in XLI.
Sector Watch:
Market Perform
Industrials: as of
December 15th
Meanwhile,
recent relative
sector underperformance
has the weekly
MACD
on the verge of turning downward
from its zero line, which would confirm that an intermediate
term trend of relative underperformance
by Industrials is underway.Slide13
12
Meanwhile, the percentage of ETF-related sector bets being allocated to Consumer Staples stalled in November, and is now drifting
below
its quarterly moving average.
Turning negative?
Sector Watch:
Market Perform
Consumer Staples: as of
January 5
th
The
Consumer Staples Sector SPDR ETF (XLP) has been hovering at quarterly overbought extremes versus SPY since October.
Previous similar extremes have led periods of sector underperformance.Slide14
13
However, the percentage
of
ETF-related sector bets
allocated
to
Health
Care
expanded back above
its quarterly moving average this week, after contracting below it in December, which suggests that the June 2014 outperformance trend isn’t quite over yet.Sector Watch: Market PerformHealth Care: as of
January 16
th
The Health Care Sector SPDR ETF (XLV)
continues to hover at quarterly
overbought extremes versus the
SPY
that have
historically preceded periods of relative sector
underperformance
– in addition to being historically overinvested per Slide 3.Slide15
Contact Us:
Phone:
1-224-569-4112
Email: info@asburyresearch.com
On The Web: http://asburyresearch.com/