So far this quarter we haven’t had a really big spread day between the laggards and leaders. That is until today. The low ranked RS stocks did much better than the highly ranked RS stocks today. The broad market was up dramatically today, but all of the good performance came from the low ranked stocks. Looking at the performance by RS decile you can see a steady progression in the performance as the RS ranks get worse.
You can see from the data that any decile that outperformed the universe average was at least in the bottom half of the ranks. It is very rare to find an RS strategy that even holds stocks ranked in the bottom half, let alone buys them. On a day like today, the more levered you are to the high RS stocks, the worse you performed.
