From April 2nd through April 10th, the average stock in the S&P 500 fell 4.99%. Then from April 10th through April 17th, the average stock in the index bounced 2.89%. In the first quarter of 2012, the stocks that did best were the stocks that performed the worst in 2011, while the stocks that did the best in 2011 (high quality, high dividend payers) underperformed significantly in the first quarter. Below and on page two, we take a look at which characteristics drove performance during the early April pullback as well as during the subsequent bounce.
To run the analysis, we break the S&P 500 into deciles (10 groups of 50 stocks each) based on the various categories shown in the matrix below, and then we calculate the average performance of the stocks in each decile over the time periods shown.