In this paper, we examine the geographic revenue distribution of the S&P 500 and see what, if any, impact foreign economies and geographically driven market events may have on overall index performance.
We examine a recent market event, the 2016 U.S. election, as a case study. To aid in the analysis, we use two stylized portfolios based on geographic revenue data. The time period studied is from Election Day (Nov. 8, 2016) to year-end 2017, a period of robust performance and record highs for the S&P 500.
We review the performance of companies in the index through the lens of geographic revenue information. To decompose the performance, we first investigate the potential impact that currency movements may have using the U.S. Dollar Index performance and the Northfield U.S. Macroeconomic Risk Model. We then take a closer look at the individual GICS® sectors and run sector-driven performance attributions of the stylized portfolios.