UNSTRUCTURED ALPHAMeasure a portfolio

ITB vs MAS

On none of the 19 forces measured do ITB and MAS differ by more than the noise in the readings: their 90% ranges overlap every time.

ITBMASBars: 90% ranges. Hollow: could not be told apart from zero.Same figures in the table below.
Economic forceITBiShares U.S. Home Construction ETFMASMasco
Interest ratesIn weeks when the 10-year Treasury yield rose 0.25 percentage points−4.2%−5.0% to −3.3%Clear−3.9%−5.1% to −2.7%Clear
Inflation expectationsIn weeks when 10-year inflation expectations rose 0.25 percentage points+4.0%+1.1% to +6.9%Tentative+3.4%+0.67% to +6.1%Tentative
U.S. dollarIn weeks when the trade-weighted U.S. dollar rose 2%−0.10%−1.4% to +1.2%Not distinguishable from zero+0.69%−0.70% to +2.1%Not distinguishable from zero
Oil and energyIn weeks when the price of oil rose 10%−1.5%−2.2% to −0.90%Clear−1.4%−2.2% to −0.48%Tentative
Credit spreadsIn weeks when corporate credit spreads widened 0.25 percentage points−2.0%−3.9% to −0.04%Tentative−2.7%−4.9% to −0.57%Tentative
Short-term ratesIn weeks when the 2-year Treasury yield rose 0.25 percentage points+0.01%−1.7% to +1.7%Not distinguishable from zero−0.80%−2.7% to +1.0%Not distinguishable from zero
Market volatilityIn weeks when market volatility (the VIX) rose 5 points+0.27%−0.46% to +1.0%Not distinguishable from zero+0.08%−0.84% to +1.0%Not distinguishable from zero
Mortgage ratesIn weeks when the 30-year mortgage rate rose 0.25 percentage points−0.38%−1.4% to +0.63%Not distinguishable from zero−0.33%−1.4% to +0.74%Not distinguishable from zero
GoldIn weeks when the price of gold rose 5%−0.18%−1.0% to +0.65%Not distinguishable from zero−0.22%−1.2% to +0.78%Not distinguishable from zero
CopperIn weeks when the price of copper rose 5%−0.42%−1.1% to +0.23%Not distinguishable from zero−0.66%−1.2% to −0.12%Tentative
Natural gasIn weeks when the U.S. natural gas price (Henry Hub) rose 10%−0.02%−0.04% to 0.00%Not distinguishable from zero−0.02%−0.04% to 0.00%Not distinguishable from zero
BitcoinIn weeks when the price of bitcoin rose 10%+0.76%+0.05% to +1.5%Tentative+0.20%−0.61% to +1.0%Not distinguishable from zero
Small vs large companiesIn weeks when small companies beat large ones by 1 percentage point+1.1%+0.84% to +1.3%Clear+1.0%+0.71% to +1.3%Clear
Value vs growthIn weeks when value stocks beat growth stocks by 1 percentage point+0.85%+0.56% to +1.1%Clear+0.90%+0.60% to +1.2%Clear
MomentumIn weeks when recent winners beat the stock market by 1 percentage point−0.13%−0.38% to +0.12%Not distinguishable from zero−0.07%−0.43% to +0.29%Not distinguishable from zero
EuroIn weeks when the euro rose 2% against the U.S. dollar+1.0%−1.6% to +3.6%Not distinguishable from zero−0.12%−3.0% to +2.8%Not distinguishable from zero
Japanese yenIn weeks when the yen rose 2% against the U.S. dollar+0.17%−0.80% to +1.1%Not distinguishable from zero−0.34%−1.4% to +0.76%Not distinguishable from zero
Emerging marketsIn weeks when emerging-market stocks beat the S&P 500 by 1 percentage point−0.04%−0.23% to +0.16%Not distinguishable from zero+0.03%−0.31% to +0.38%Not distinguishable from zero
ChinaIn weeks when Chinese stocks beat other emerging markets by 1 percentage point−0.04%−0.14% to +0.06%Not distinguishable from zero−0.06%−0.21% to +0.08%Not distinguishable from zero
Each figure is the stock's typical move in a week when the force moved by the stated amount, after accounting for the stock market, with its 90% range beneath. Grey figures could not be told apart from zero. A row is marked a clear difference only when the two 90% ranges do not overlap.

This describes the past, and it is not a forecast. Relationships change, and nothing here is a recommendation to buy, sell or hold any security.

Measure ITB and MAS togetherWhat if? Move a force

Your portfolio, measured the same way

Every figure on these pages is one stock at a time. The app measures a whole portfolio: which forces it is exposed to, which holdings cause it, and how sure the reading is. Free, no account for the first report.