A Look At U.S. Equities: Stock Returns By Decile Since 2/27

From Ticker Sense

We looked at the stocks of the Russell 3,000 to see how they have performed since the 2/27 decline when grouped into different categories.  We broke the index into deciles (groups of 10) based on their year to date performace, market cap, p/e ratios and dividend yield.  All of the categories are as of the 2/26 close (the last close before Tuesday’s big declines).

When looking at year to date performance of stocks prior to 2/27, the stocks that had performed the best are the ones that have performed the worst.  Since the 2/26 close, the top performing decile is down an average of 6.25%.  Surprisingly, the second worst performing decile is the group that had performed the worst year to date.  The deciles that have held up the best since Tuesday were basically the middle of the pack performers up until Tuesday.

Large cap stocks held up better than small cap stocks.  The worst performing decile since the 2/26 close is the decile of the smallest stocks in the Russell 3,000 by market cap.

The valuation category shows that stocks that had negative p/e ratios on 2/26 have performed the worst since then.  Since more than a tenth of the stocks in the Russell 3,000 have no p/e ratios (negative or no earnings), we made the tenth group all stocks with no p/e ratios, and then broke up the rest into ninths.  The 434 stocks in the Russell 3,000 that have no p/e ratios are down an average of 7.19% since 2/27.

When looking at dividend yields, the 1,477 stocks that have no dividend yield are down an average of 6.26% since 2/27, the worst performing group.  Interestingly, the highest yielding dividend stocks performed the second worst, probably because of high yielding reits and financial stocks that have gotten hit hard also.

To summarize, we have quantified what most people probably assumed.  The stocks that got hit the hardest last week were small caps with little or no earnings, low or no dividend yields, and strong year to date performances up until the declines.  Large cap stocks with low p/e ratios held up the best.

The table below highlights our results.  Green fonts mean the performance is better than the average performance of all stocks since the 2/26 close (-5.50%).  Deciles with green borders are the best performers of the ten while deciles with red borders are the worst performers.

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