Weekly RS Recap

March 31, 2014

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 (3/24/14 – 3/28/14) is as follows:

ranks 03.31.14 Weekly RS Recap

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Sector Performance

March 28, 2014

The chart below shows performance of US sectors over the trailing 12, 6, and 1 month(s).  Performance updated through 3/27/14.

s c 03.28.14 Sector Performance

Numbers shown are price returns only and are not inclusive of transaction costs.    Source: iShares

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Quote of the Week

March 27, 2014

From Meb Faber:

 Most of the alpha out there (or smart beta or whatever it is being called these days) is either hard to find or hard to DO.  And by do, I mean it goes against everything your behavioral instincts tell you to do.  Buying a stock at all time highs is hard to do, and one reason momentum and trend work.  Buying a value investment is hard for many reasons.

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Examining Sector Strength

March 27, 2014

Good discussion here about sector relative strength by our analysts, Susan Morrison and Jay Gragnani.  Their discussion made me think of this study, published in the NYT:

The soccer field has turned out to be a popular laboratory among economists, with penalty kicks a particular favorite.

Awarded after certain kinds of fouls, or sometimes to decide a championship match, a penalty kick pits one player against the goalkeeper. (Mano a pie instead of mano a mano, though, since the goalie is allowed to use his hands.)

Standing just 36 feet away, the kicker sends the ball hurtling at the goal at 60 to 80 m.p.h., giving the goalie just 0.2 to 0.3 second to respond. Given the speed, the goalkeeper has to decide what to do even before observing the direction of the kick. Stopping a penalty kick is considered one of the most difficult challenges in sports. Not surprisingly, 80 percent of all penalty kicks score.

For their study, Mr. Azar, along with Michael Bar-Eli, a sports psychologist; Ilana Ritov, a psychologist; and two graduate students, scanned the top leagues in the world, collecting data on 311 penalty kicks. Then they computed the probability of stopping different kicks (to the left, the right or center) with different actions (jumping left, right, or staying put) to see which one “maximizes his chance of stopping the ball.”

According to their calculations, staying in the center gives the goalkeeper the best shot at halting a penalty kick — 33.3 percent, instead of 14.2 percent on the left and 12.6 percent on the right.

Yet when the group analyzed how the goalkeepers had actually reacted to these penalty kicks, they discovered the goalies remained in the center just 6.3 percent of the time.

The reason, Mr. Azar contends, is rooted in how the players feel after failing to block the ball.

01kick 600 Examining Sector Strength

Source: New York Times

When it comes to soccer and investing, when choosing what to do, sometimes the best thing is nothing.

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Fund Flows

March 27, 2014

Mutual fund flow estimates are derived from data collected by The Investment Company Institute covering more than 95 percent of industry assets and are adjusted to represent industry totals.

ici 03.27.14 Fund Flows

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Emerging Markets: “Differentiation remains the watchword”

March 26, 2014

Sam Ro at Business Insider makes a key point about Emerging Markets:

Many investors have gotten used to lumping the world’s emerging markets into one big asset class.

But in the past year, the drama in Turkey, Venezuela, Argentina, Russia, Indonesia, India, China … all of these countries have had unique local stories that made it very clear that the emerging markets should not be considered as one big thing.

“Amid the pervasive bearishness about developing economies, the term ‘emerging markets’ has never been more unhelpful and misleading,” said Nicholas Spiro last month. “Differentiation remains the watchword, and it’s time the term ‘emerging markets’ was jettisoned.”

Differentiation is the key when it comes to the PowerShares DWA Emerging Markets Momentum ETF (PIE).  We evaluate the broad universe of emerging market securities and identify the 100 securities with, what we believe to be, superior relative strength characteristics.  The index is rebalanced quarterly.

Performance of PIE vs. EEM over the last 5 years is as follows:

pie1 Emerging Markets: Differentiation remains the watchword

Source: Yahoo! Finance, Performance does not include dividends or transaction costs

Click here to view the current holdings in PIE.

A relative strength strategy is NOT a guarantee.  There may be times where all investments and strategies are unfavorable and depreciate in value.  Past performance is no guarantee of future returns. Potential for profits is accompanied by possibility of loss.  Dorsey Wright & Associates is the index provider for The PowerShares DWA Emerging Markets Momentum ETF (PIE).

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Retirement Planning Essentials

March 26, 2014

Back to the basics with Andy Kiersz at Business Insider:

We recently pointed out that starting to save early for retirement is extremely helpful, and also a useful chart showing how much you should have saved at different stages of your career to ensure a comfortable retirement.

To show how these ideas work, we figured out how much money you would have to set aside monthly, starting at different ages, and under different rates of return, to end up with $1,000,000 in savings when you are ready to retire at 65.

Here is how much you would need to save each month at a 6% annual rate of return, starting at different ages.

So if you’re 20, and you want to retire a millionaire, you should be socking away $361 per month. If you’re starting at 25, that jumps to $499. You can see how as you get older, you need to be saving much, much more:

monthly savings chart new Retirement Planning Essentials

Bottom line: It is much better to start saving young. Two things are happening here. First, by starting to save at 20 instead of 40, you have many more individual monthly payments, and can spread out your total principal investment over a longer period of time.

Second, and much more importantly, by saving earlier, you can better take advantage of compound interest. If you start saving when you are 20, your first payment of $361.04 will, at 6% return, grow into $5336.16 when you are 65.

How much you need to save also depends on  the return rate. This chart shows how much you need to put into your savings account each month for a variety of annual return rates:

monthly savings table good Retirement Planning Essentials

A solid grasp of (and commitment to act on!) the basics of savings and compound interest are fundamental to achieving a secure retirement.  This becomes ever more important as life expectancy continues to increase. From the WSJ earlier this week:

The Society of Actuaries recently updated its mortality tables for the first time since 2000 to reflect the longer life spans of today’s retirees. Based on the update, the average man who turns 65 this year is expected to live to 86.6, up from 82.6 in 2000. Women are expected to live to 88.8, up from 85.2.

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High RS Diffusion Index

March 26, 2014

The chart below measures the percentage of high relative strength stocks that are trading above their 50-day moving average (universe of mid and large cap stocks.)  As of 3/25/2014.

diffusion 03.26.14 High RS Diffusion Index

The 10-day moving average of this indicator is 82% and the one-day reading is 75%.

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Relative Strength Spread

March 25, 2014

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 3/24/2014:

spread 03.25.14 Relative Strength Spread

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401k Spotlight: An (Enlightened) Alternative to Target Date Funds

March 24, 2014

Of the approximately $12 trillion of employer-based retirement plans, over $500 billion is now in target date funds.   The opportunity to show value to a plan sponsor by analyzing asset allocation solutions may be the source of credibility that wins a plan for the 401k advisor.  Target Date Funds are based on the notion that an increasing shift to bonds over time will produce the ultimate asset allocation solution.    In fact, it is implied by the labeling of the target date fund that all one must do is select the year in which they desire to retire and plug in a computed savings level to reach the magic number.     If nothing else, give the financial institutions creative credit for deflection marketing by providing a series of product such as: 2025, 2035, 2045, and 2055.  The labeling presumes accepted strategy and steers focus toward the desired end result.

Dynamic Asset Allocation

A quick browse into the Fidelity Freedom Funds website (Fidelity’s target date series) shows a caption of “Dynamic Asset Allocation”, which is then defined as the gradual glidepath away from stocks and toward bonds and short term notes as retirement nears.  Those of us who use the phrase dynamic know it to be a little more comprehensive than a simple shift from stocks to bonds.    Further, the primary premise of target date funds is put into much different perspective by  Robert Arnott, author of “The Glidepath Illusion.”    He points out that the rebalancing within a static allocation significantly outperforms a gradual shift from stocks to bonds.  Specifically, he maintains that adjusting the risk profile within stock and bond portfolios rather than across  asset classes reins in risk more constructively than glidepath solutions.

Dorsey Wright ETF Global Growth and Dorsey Wright ETF Global Balanced Collective Funds

Fee based 401k advisors:   If you are a fee based 401k advisor charging fees on plan assets or flat fees, you may wish to consider the Church Collective funds two ETF asset allocation solutions.  It is a way to educate plan sponsors about the value of relative strength and implementing it in a unique way via an asset allocation strategy.   Not only are these great solutions to play a part in a participant’s overall portfolio, they serve as a more comprehensive option than a single selected target date fund.   There are few plan sponsors who have been explained the logic of having the asset allocation risk managed within the asset class rather than across asset classes.

The Church Capital ETF Global Growth and Church Capital ETF Global Balanced has hired Dorsey Wright & Associates as sub-advisor for these relative strength-driven ETF asset allocation funds. They are currently available on the following platforms:

Fidelity
CPI
Frontier Trust
Schwab
TD Ameritrade
Wilmington Trust
MidAtlantic
Mass Mutual
ING
Greatwest
Paychex
Reliance Trust
MG Trust Company

Collective Investment Funds

CIF’s are specific to retirement plans only and registered under the banking regulations enforced by the office of Comptroller of Currency, which is part of the U.S. Treasury. CIF’s are issued cusip numbers and trade over the NSCC. CIF’s are created and administered by trust companies. The Church Capital funds use Altatrust, Denver, CO as their trust company. CIF’s are a natural fit for ETF money managers such as Dorsey Wright because they allow for unique strategy flexibility and inexpensive to create and manage.

These funds are portable to any 401k platform and Altatrust continues to complete new agreements with various 401k providers. In addition to making relative strength strategies available to any 401k plan, Church Capital and Altatrust provide a side benefit to plan sponsors of these plans by signing off as 3(38) fiduciaries for the management of these funds.

Church Capital ETF Global Growth, Global Balanced (QDIA)

By providing two different ETF asset allocation funds, the majority of 401k participant risk profiles can be met. Each fund retains a static asset class allocation, but provides the dynamic relative strength rotation management of ETF’s within the asset class allocation.

Click here to view the Church Capital brochure for more information.

A relative strength strategy is NOT a guarantee.  There may be times where all investments and strategies are unfavorable and depreciate in value.  Past performance is no guarantee of future returns. Potential for profits is accompanied by possibility of loss.  Dorsey Wright & Associates is the sub-advisor for the Church Capital ETF Global Growth, Global Balanced CITs.

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Weekly RS Recap

March 24, 2014

The table below shows the performance of a universe of mid and large cap U.S. equities, broken down by relative strength decile 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 (3/17/14 – 3/21/14) is as follows:

ranks 03.24.14 Weekly RS Recap

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DWA Collective Investment Trusts for 401k Plans

March 21, 2014

Managed ETF solutions are in their initial phase in entering the retirement plan industry to provide much needed alternatives to current products such as target date funds. The Church Capital ETF Global Growth and Church Capital ETF Global Balanced has hired Dorsey Wright & Associates as sub-advisor for these relative strength driven ETF asset allocation funds. They are currently available on the following platforms:

Fidelity
CPI
Frontier Trust
Schwab
TD Ameritrade
Wilmington Trust
MidAtlantic
Mass Mutual
ING
Greatwest
Paychex
Reliance Trust
MG Trust Company

Collective Investment Funds

CIF’s are specific to retirement plans only and registered under the banking regulations enforced by the office of Comptroller of Currency, which is part of the U.S. Treasury. CIF’s are issued cusip numbers and trade over the NSCC. CIF’s are created and administered by trust companies. The Church Capital funds use Altatrust, Denver, CO as their trust company. CIF’s are a natural fit for ETF money managers such as Dorsey Wright because they allow for unique strategy flexibility and inexpensive to create and manage.

These funds are portable to any 401k platform and Altatrust continues to complete new agreements with various 401k providers. In addition to making relative strength strategies available to any 401k plan, Church Capital and Altatrust provide a side benefit to plan sponsors of these plans by signing off as 3(38) fiduciaries for the management of these funds.

Church Capital ETF Global Growth, Global Balanced (QDIA)

By providing two different ETF asset allocation funds, the majority of 401k participant risk profiles can be met. Each fund retains a static asset class allocation, but provides the dynamic relative strength rotation management of ETF’s within the asset class allocation.

Click CC_Brochure2 to view the Church Capital brochure for more information.

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Packaged Discipline

March 21, 2014

With approaches to investing such as is described in the following excerpt from a post on Musing On Markets blog (written by a professor at NYU), is it any wonder that factor-based investing (aka “Smart Beta”) is taking off?

Assume that you value a stock at $20 and it is trading at $30. What would you do? If you are a value-based investor, the answer is easy, right? Don’t buy the stock, or perhaps, sell it short! Now let’s say it is three months later. You value the same stock again at $20 but it is now trading at $50. What would you do now? Rationally, the choice is simple, but psychologically, your decision just got more difficult for two reasons. The first stems from second guessing. Even if you believe that markets are not always rational, you worry that the market knows something that you don’t. The second is envy. Watching other people make money, even if their methods are haphazard and their reasoning suspect, is difficult. You are being tested as an investor, and there are three paths that you can take.

  1. Keep the faith that your estimate of value is correct, that the market is wrong and that the market will correct its mistakes within your time horizon. That may be what every value investing bible suggests, but your righteousness comes with no guarantees of profits.
  2. Abandon your belief in value and play the pricing game openly, either because your faith was never strong in the first place or because you are being judged (by your bosses, clients and peers) on your success as a trader, not an investor.
  3. Preserve the value illusion and look for “intrinsic” ways to justify the price, using one of at least three methods. The first is to tweak your value metrics, until you get the answer you want. Thus, if the stock looks expensive, based on PE ratios, you try EV/EBITDA multiples and if it still looks expensive, you move on to revenue multiples. As I argued in my post on the pricing of social media companies, you will eventually find a metric that will make your stock look cheap. The second is to claim to do a discounted cash flow valuation, paying no heed to internal consistency or valuation first principles, making it a DCF more in name than in spirit. The third is to use buzzwords, with sufficient power to explain away the difference between the price and the value.

The level of subjective decision-making described above is a recipe for ulcers, unhappy clients, and likely a short career in this industry.  Such an investor follows a different discipline (I use that term loosely in this context) every day.  Every change in investment philosophy is largely based on changes in feelings.

One of the major reasons why there has never been a better time to be an advisor in this industry than today is because of the ability to access disciplined investment strategies (aka “Smart Beta”) in rules-based indexes where the risk of the manager not following the discipline is largely removed.  Books, such as What Works on Wall Street by Jim O’Shaughnessy, clearly point out that there are a number of return factors that have been able to generate excess return over time.  In my opinion, one of the biggest reasons that “actively managed strategies” have had such a poor track record, in aggregate, over time is because the investment committee of these strategies sits around and goes through some variation of steps 1-3 shown above on a regular basis.  In other words, there is no discipline! 

Consider the following exchange between Tom Dorsey and IndexUniverse from last year on the topic of the future of the ETF industry.  Tom was asked to explain his statement that the future of the ETF market is “ETF Alchemy.”

Dorsey: Think about this for a second: If I take H2 and I add O, what do I get?

IU.com:Water.

Dorsey: Yes, water. Each one of those two elements is separate. But when I combine the two, I come up with a substance—water—that you can’t live without. Each one separately is not as good as the two combined. And the concept here is, What’s out there in terms of ETFs I can combine together to make a better product?

Take for instance the Standard & Poor’s Low Volatility Index—and if you add that to PDP, which is our Technical Leaders Index, and combine the two, it’s like taking two glasses of water and pouring them into one bigger glass of water, 50-50. I end up with a better product than either one of them separately.

You’ll find this as we go along: the ability to combine different ETFs to create a better unit where the whole is better than the sum of its parts.

A little later in the interview, Tom Dorsey spoke to just how important the ETF has been to the industry:

Dorsey: Yes, and I can’t tell you how many seminars I have taught to professionals on ETFs and the eyes that widen and the lives that change once they understand it and understand how to use it; it tells me we’re on the right path and this is the exact right product.

Like I’ve said to you before, it’s probably the most important product ever created in my 39 years in this business. And I believe back then when I talked to you that we’re in the first foot of a 26-mile marathon.

With some reasonable amount of due diligence, advisors today can identify a handful of investment factors that have historically provided excess return.  The advisor can then combine these strategies—now plentifully available in ETF format—for a client in a way that provides diversified and disciplined exposure to winning return factors at a reasonable cost.

Dorsey Wright is the index provider for PDP.  For more information, please see www.powershares.com.  A momentum strategy is NOT a guarantee.  There may be times where all investments and strategies are unfavorable and depreciate in value.  Past performance is no guarantee of future returns. Potential for profits is accompanied by possibility of loss.  

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Picking the Winners: NCAA Office Pool Edition

March 18, 2014

The WSJ this morning on how to win your NCAA Office Pool:

Pick the favorites. This is the only foolproof way to guarantee you won’t embarrass yourself.

For all of the attention paid to underdogs—is there any other reason you know Florida Gulf Coast University exists?—the better team still wins most round-of-64 games. Over the last 10 seasons, the average number of double-digit seeds beating favorites was six per tournament. Meanwhile, a bracket with favorites winning every game last year would have placed in the 91st percentile of entries to ESPN’s contest, a company spokeswoman said. In other words, your bracket can only be so contrary until it’s cuckoo.

Part of the fun of NCAA Office Pools is bragging rights of picking the underdogs (even if it’s a statistical unlikelihood).  However, this same principle applies to investing.  When it comes to the financial markets, rather than shoot for bragging rights, go for the money!

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Relative Strength Spread

March 18, 2014

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 3/17/2014:

spread 03.18.14 Relative Strength Spread

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Quote of the Week

March 17, 2014

Philosophical Economics:

We select from the options that are there, not from the options that used to be there, and especially not from the options that we think “should be” there in a moral sense.

The financial markets can be an expensive place to be dogmatic.

HT: Abnormal Returns

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Time and Discipline

March 16, 2014

I love this image from Carl Richards of Behavior Gap:

Time and discipline Time and Discipline

Experience teaches us that the image above is true.  Anyone can get it right in the short run.  We’ve all seen it.  The gambler at the slot machines who walks out with a few thousand dollars, the sports fan who successfully bets on his home team over the higher ranked opponent, the investor who makes some money buying stock in a company recommended by his brother-in-law.  Yet, will any of the previous approaches end well in the long run?  Not likely.

Relative strength happens to be our discipline of choice.  It has been extensively tested.  It is logical.  It has been effective over time.  There are other disciplines that have also been effective over time.  There are many approaches that fall in the category of undisciplined.  One example: the quant manager who incorporates many different return factors into an ever-changing investment model.  A tweak here.  A tweak there…

When building allocations meant to last and designed to make a meaningful difference for a client over time, advisors and their clients would be well served to build allocations around effective disciplines and leave the rest by the wayside.

A relative strength strategy is NOT a guarantee.  There may be times where all investments and strategies are unfavorable and depreciate in value. Past performance is no guarantee of future returns. Potential for profits is accompanied by possibility of loss. 

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The Valuation Game

March 15, 2014

Morningstar analyst, Samuel Lee, describes one of the major challenges facing those investors who look to base their decisions on valuations.  Lee says, that “the problem is that earnings quality–operating, and as-reported, has declined over time.”  He cites Warren Buffet on the topic from one of his shareholder letters:

It was once relatively easy to tell the good guys in accounting from the bad: The late 1960s, for example, brought on an orgy of what one charlatan dubbed ‘bold, imaginative accounting’ (the practice of which, incidentally, made him loved for a time by Wall Street because he never missed expectations). But most investors of that period knew who was playing games. And, to their credit, virtually all of America’s most-admired companies then shunned deception.”In recent years, probity has eroded. Many major corporations still play things straight, but a significant and growing number of otherwise high-grade managers–CEOs you would be happy to have as spouses for your children or as trustees under your will–have come to the view that it’s okay to manipulate earnings to satisfy what they believe are Wall Street’s desires. Indeed, many CEOs think this kind of manipulation is not only okay, but actually their duty.

Lee’s article brings up the question of whether P/E ratios should be compared to their 130-year average or whether it would be better to compare today’s P/E ratios to their 30 or 50-year averages in order to determine whether the broad U.S. equity market is overvalued or undervalued.

Such difficulties with valuation only strengthen the case for trend following.  It’s not that earnings don’t matter–they certainly do.  It’s just not clear in what time frame and to what degree they will impact the stock price.  Investors are free to use any criteria they choose (or none at all) to determine whether they will buy or sell a given stock, ETF, or mutual fund.  Trend followers, like us, spend much less time worrying about concepts like overvalued or undervalued and much more time focusing on executing a strategy that seeks to build a portfolio of securities that have favorable relative strength characteristics.  Over time, we generally end up with a portfolio of securities that many analysts would view as fundamentally strong (at least in retrospect), it’s just that we rely on “the wisdom of the crowds” instead of Wall Street earnings reports.

HT: Abnormal Returns

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Sector Performance

March 14, 2014

The chart below shows performance of US sectors over the trailing 12, 6, and 1 month(s).  Performance updated through 3/13/2014.

gics 03.14.14 Sector Performance

Numbers shown are price returns only and are not inclusive of transaction costs.    Source: iShares

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Bespoke: What We Hear

March 13, 2014

So true…

bespoke Bespoke: What We Hear

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Using the CAPE Ratio for Market Timing

March 13, 2014

The Shiller Cyclically Adjusted Price to Earnings ratio (“CAPE” ratio) is getting a lot of play in the financial press as the “single best forecaster of long-term future stock returns.”  Nobel Prize-winning economist Robert Shiller first published information on the CAPE ratio in 1998.  While some may have used this measure as a reason to argue that the market is expensive and to stay on the sidelines for the last couple of years, one quote is worth keeping in mind.  On May 17, 2011, Shiller stated:

Equity returns will be disappointing over the next decade.

From that date through December 31, 2013, two and a half years later, the S&P 500 Index total return is up 47.3% (15.9% annualized).  The decade is far from over yet, but the market will have to fall a long way before the decade he refers to is disappointing.  We’ll see, but it causes one to pause. (Source: Bridgeway)

Trying to time the market based on valuations can be…problematic.  It is worth remembering that earnings do have some disadvantages.  As stated by Bridgeway:

First, they can be manipulated by management.  Second, since accounting standards change over time, a dollar of earnings in 1880 may not mean the same thing as a dollar of earnings in 1990 or in 2014.

At Dorsey Wright, price is the sole input into our models.  We employ systematic models that allow us to adapt to price trends (relative strength allows us to identify the strongest of the trends).  What is, is.

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Factor Performance

March 13, 2014

The Leuthold Group’s March Green Book gave an update on factor performance over the past 12 months (ending Feb 2014):

leuthold 03.13.14 Factor Performance

 Momentum has carried over its 2013 strength into 2014 with impressive back-to-back months to start the year.

Momentum was left for dead by many investors after the disastrous 2009, when the stocks that had underperfored the most rebounded violently off of the March lows.  We felt then, and now, that abacking away from the factor after the damage had been done was a mistake.  Since the end of 2009 no other factor comes close to the performance that Momentum has delivered.

Compounding the problem for investors that shunned Momentum is the fact that not much else has worked of late.  The chart above shows performance for the last 12 months, and the only other noteworthy category is Sentiment, which is highly correlated with Momentum.  Valuation and Growth have been noticeably absent.

The favorable environment for Momentum is also reflected in the performance of the PowerShares DWA Momentum Index (PDP) over the past year.  We are the index provider for this ETF and the index is constructed using Dorsey Wright’s Point & Figure Relative Strength analysis.

pdp pnf Factor Performance

Performance for the 12-month period ending Feb 28, 2014 is as follows:

pdp perf1 Factor Performance

Source: Dorsey Wright, Returns do not include dividends or transaction costs

For reasons that we frequently discuss in this blog, we believe that Momentum is the single most effective investment methodology over time.  We also know that it does periodically go out of favor (during choppy/trendless markets and markets with major reversals in leadership).  However, trends have been fairly stable over the past year and Momentum is capitalizing.

This Momentum strategy is NOT a guarantee.  There may be times where all investments and strategies are unfavorable and depreciate in value.  Past performance is no guarantee of future returns. Potential for profits is accompanied by possibility of loss.  See www.powershares.com for more information.

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Fund Flows

March 13, 2014

Mutual fund flow estimates are derived from data collected by The Investment Company Institute covering more than 95 percent of industry assets and are adjusted to represent industry totals.

ici 03.13.14 Fund Flows

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High RS Diffusion Index

March 12, 2014

The chart below measures the percentage of high relative strength stocks that are trading above their 50-day moving average (universe of mid and large cap stocks.)  As of 3/11/14.

diffusion 03.12.14 High RS Diffusion Index

The 10-day moving average of this indicator is 85% and the one-day reading is 87%.

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Relative Strength Spread

March 11, 2014

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 3/10/2014:

spread 03.11.14 Relative Strength Spread

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