The chart below is the spread between the relative strength leaders and relative strength laggards (universe of mid and large cap stocks). When the chart is rising, relative strength leaders are performing better than relative strength laggards. As of 6/14/2010:
What is likely to follow this transitionary phase of the RS Spread over the past year? I suspect that we are setting the stage for a very favorable environment for relative strength investing in the coming years.
So is this the difference in trailing returns for the last 12 months?
No, we are calculating the difference between the highest RS and lowest RS stocks each day and plotting the difference. The RS Spread is simply the result of the daily differences between the two series over time.
how does this chart look going further back 2000-2007 for example?
I just e-mailed you a longer chart of the RS Spread.