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 (10/18/10 – 10/22/10) is as follows:

Another strong week for high relative strength stocks with the top quartile outperforming the universe by 42 basis points and outperforming the bottom quartile by 123 basis points.

How different investments have done over the past 12 months, 6 months, and month.

¹PowerShares DB Gold, ²iShares MSCI Emerging Markets ETF, ³iShares DJ U.S. Real Estate Index, ⁴iShares S&P Europe 350 Index, ⁵Green Haven Continuous Commodity Index, ⁶iBoxx High Yield Corporate Bond Fund, ⁷JP Morgan Emerging Markets Bond Fund, ⁸PowerShares DB US Dollar Index, ⁹iBoxx Investment Grade Corporate Bond Fund, ¹⁰PowerShares DB Oil