Systematic Relative Strength

The table below shows the performance of a universe of mid and large cap U.S. equities, broken down by relative strength decile and quartile and then compared to the universe return. Those at the top of the ranks are those stocks which have the best intermediate-term relative strength. Relative strength strategies buy securities that have strong intermediate-term relative strength and hold them as long as they remain strong.

Last week’s performance (11/2/09 - 11/6/09) is as follows:

Last week was a great week for high relative strength stocks as the top quartile nearly doubled the return of the bottom quartile and also beat the universe return by a healthy margin.

This entry was posted on Monday, November 9th, 2009 at 7:32 am and is filed under Markets. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.