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How are economic announcements going to move the market? We're going to take a look at historical market reactions to see how stocks typically respond to different data. Wednesday's economic announcements with a published market consensus on Briefing.com include the following:

- 10:00 AM ISM Index - market expects 50.5

- 10:00 AM Construction Spending - market expects 0.5%

In order to do this, we have compiled data on over 6,000 US economic releases and market expectations over the last 8 years to help us pick which stocks are most likely to out-perform or underperform the day of a market beat or miss. To drown out the noise from specific stocks doing well for non-macro reasons, we are going to look only at sector SPDRs. All data is compiled by the author from Yahoo Finance.

ISM Index

Historical Observations:

  • Observations: 95
  • Beats: 41
  • Meets: 24
  • Misses: 30 (misses 31.0% of the time)

When there is a surprise and the ISM Index is larger than expected, historically the best performing sector fund is Energy Select Sector SPDR (NYSEARCA:XLE), which has an up day 68.3% of the time and increases on average by 0.5% on the day of the surprise. This group includes stocks like Exxon (NYSE:XOM) Chevron (NYSE:CVX) and Schlumberger (NYSE:SLB).

The worst performing sector is Health Care Sector SPDR (NYSEARCA:XLV), which averages a daily return of 0.2%. This group includes Johnson & Johnson (NYSE:JNJ) Pfizer (NYSE:PFE) and Merck (NYSE:MRK).

When there is a surprise and the ISM Index is lower than expected, historically the best performing sector fund is Utilities Sector SPDR (NYSEARCA:XLU), which has an up day 70.0% of the time and increases on average by 0.2% on the day of the surprise. This group includes stocks like Duke Energy Corp (NYSE:DUK) Southern Co (NYSE:SO) and Dominion Resources (NYSE:D).

The worst performing sector is Financial Select Sector SPDR (NYSEARCA:XLF), which averages a daily return of -0.7%. This group includes Wells Fargo (NYSE:WFC) JP Morgan (NYSE:JPM) and Bank of America (NYSE:BAC).

Construction Spending

Historical Observations:

  • Observations: 93
  • Beats: 31
  • Meets: 40
  • Misses: 22 (misses 23.0 % of the time)

When there is a surprise and Construction Spending is larger than expected, historically the best performing sector fund is Financial Select Sector SPDR, which has an up day 61.3% of the time and increases on average by 0.6% on the day of the surprise.

The worst performing sector is Energy Select Sector SPDR, which averages a daily return of -0.0%. This group includes Exxon Chevron and Schlumberger.

When there is a surprise and Construction Spending is lower than expected, historically the best performing sector fund is Energy Select Sector SPDR, which has an up day 72.7% of the time and increases on average by 0.3% on the day of the surprise.

The worst performing sector is the Industrial Sector SPDR (NYSEARCA:XLI), which averages a daily return of -0.2%. This group includes GE (NYSE:GE) United Technologies (NYSE:UTX) and Caterpillar (NYSE:CAT).

Source: Playing Wednesday's Economic Announcements