Value Momentum Holds in SPYV Despite Rate Headwinds

SPDR Portfolio S&P 500 Value ETF is in a constructive absolute trend, but its relative edge has faded. Price is 6.4% above the 10-month SMA with momentum intact, yet relative strength has rolled 4.2% off its recent peak and now sits below its long-term average. That fits a fund participating in the market rather than leading it.

The factor mix is steady. Rolling 3-year Beta is 0.84, down from 0.91 three months ago, while the Sortino ratio is 2.00 versus 1.93 three months ago. That points to similar market exposure with better downside efficiency than earlier in the year. The portfolio evidence is broad rather than singular. Apple (7.1% of the fund's assets) beat on earnings and revenue. Exxon Mobil (2.4%) topped first-quarter profit expectations, Chevron (2.0%) also beat, and Procter & Gamble (1.6%) posted steady organic sales growth with solid volume and share trends. Offsetting that, Chevron's cash flow was softer and Costco (1.4%) lagged its sector over the last month, which helps explain why relative performance is stalling even with the absolute trend intact.

Macro conditions line up with that mixed but usable backdrop. First-quarter gross domestic product (GDP) rose at a 2.0% annualized pace, while the personal consumption expenditures (PCE) price index rose 4.5% and core PCE rose 4.3%. The Federal Reserve kept its policy rate at 3.5% to 3.75% and said inflation is still elevated. Growth is holding up. Rate pressure is too. The fund's bond correlation is 0.72, little changed from 0.73 three months ago, so higher yields are still a headwind. March disposable income rose 0.6% and consumer spending rose 0.9%, which supports large-cap U.S. value sectors tied to cash flow durability.

Currency is a modest support, not a dominant one. DXY correlation is -0.45 versus -0.44 three months ago, so a weaker U.S. dollar tends to help at the margin. The bigger live test is whether the fund can regain relative traction while Treasury yields stay firm. A regime flip would require price losing its 10-month SMA while relative strength stays below its long-term average and Beta turns back up from 0.84 at the same time.

Glossary

10-month moving average (SMA): A trend line that averages the last 10 months of closing prices. Price above it signals an uptrend; below signals a downtrend.

Beta: How much an ETF moves relative to the S&P 500. Below 1 = less volatile than the market; above 1 = more volatile.

Sortino ratio: A risk-adjusted return measure that only penalises downside volatility (losses), not general price swings. Higher is better; above 1.0 is solid.

Z-score: How far a value sits from its 3-year average, in units of standard deviation. Beyond +/-2 is statistically unusual and tends to mean-revert.

Correlation: A value from -1 to +1 measuring how two assets move together. +1 = lockstep; -1 = opposite directions; 0 = no relationship.

For informational purposes only; not financial advice.

Romain Gandon — CEO, Quantlake