Bon voyage bottom line: Dollar hitting earnings

Published Thu, Jul 23 201512:51 PM EDTUpdated Thu, Jul 23 20151:07 PM EDT

Of the 25 companies in the S & P 500 with the most overseas sales, shares of 22 of them are lower in the last one month. Many of the losses are in the double digits. This earnings season is shaping up to be a clear case of the haves versus the have nots. If companies have high U.S. dollar exposure, their stocks are getting killed. If they don't, this season is shaping up pretty well. Just on Thursday, Caterpillar lowered its 2015 revenue forecast by $1 billion because of dollar strength hurting global sales and crushing the price of the commodities CAT's customers sell. 3M blamed foreign currency translation for a weaker-than-expected forecast. And then McDonald's said global same-store sales fell for a fourth straight quarter because of weakness in Europe. Watch out if you hold shares of the companies below, which have the highest percentage of foreign sales. Many have yet to report earnings. Goldman Sachs warned clients at the start of earnings season to stay away from multinationals. "Domestic-facing US stocks have outperformed their most internationally exposed peers by 16 pp in the last 12 months (+15 percent vs. -1 percent) as the trade weighted USD strengthened by 15 percent," wrote Goldman's Ben Snider in a July 8 note. "We expect this trend to continue." The U.S. dollar index is up 8 percent this year and 20 percent over the last 12 months. In order to find some other dollar casualty trades, CNBC Pro looked for which stocks in the S & P 500 were the most sensitive to higher moves by the greenback. We took Kensho, a quantitative tool used by hedge funds, and looked at all the times in the last decade when the U.S. dollar index surged by 5 percent in 90 days and then found the S & P 500 stocks that dropped the most in the subsequent 30 days. This has happened 13 times since 2005. Multinationals rule this list with Alcoa and Joy Global falling by double digits in the 30 days after a dollar jump. Goodyear and Dow Chemical also make the list. Read More Overbought: 7 stocks ready to drop The S & P 500 stalled at a record high this week and the index may find it hard to break out if this trend continues. In 2014, 47.82 percent of sales for the S & P 500 came from outside of the U.S., according to S & P Dow Jones Indices. Disclosure: NBCUniversal, parent of CNBC, is a minority investor in Kensho.

A stack of U.S. $100 bills being counted.

Bay Ismoyo | AFP | Getty Images

Of the 25 companies in the S&P 500 with the most overseas sales, shares of 22 of them are lower in the last one month. Many of the losses are in the double digits.

This earnings season is shaping up to be a clear case of the haves versus the have nots. If companies have high U.S. dollar exposure, their stocks are getting killed. If they don't, this season is shaping up pretty well.

Just on Thursday, Caterpillar its 2015 revenue forecast by $1 billion because of dollar strength hurting global sales and crushing the price of the commodities CAT's customers sell. 3M for a weaker-than-expected forecast.

And then McDonald's said for a fourth straight quarter because of weakness in Europe.

Watch out if you hold shares of the companies below, which have the highest percentage of foreign sales. Many have yet to report earnings.