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 (4/26/10 – 4/30/10) is as follows:

High RS stocks underperformed the universe in what was a pretty rough week for the overall market.

This entry was posted on Monday, May 3rd, 2010 at 5:43 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.