Systematic Relative Strength


 

Eight years and 3,822 posts later, we are shifting venues for our Systematic Relative Strength blog to the Nasdaq MarketInsite – Systematic Relative Strength. We have a couple new posts now up on the new blog: Nasdaq MarketInsite – Systematic Relative Strength.

 

Risk management is an overarching objective of tactical asset allocation strategies.

The first image is taken from John Lewis’ white paper Tactical Asset Allocation Using Relative Strength.

asset allocation equities etf market performance portfolio relative results strategy tactical asset

 

Jim O’Shaughnessy Talks at Google [0.23]

Posted on April 23, 2017, 8:44 a.m. by Systematic Relative Strength @ [source]

If you want to succeed with active management, I would suggest this is a must watch.

This entry was posted on Sunday, April 23rd, 2017 at 1:44 am and is filed under Investor Behavior, Thought Process.

 

If you want to succeed with active management, I would suggest this is a must watch.

This entry was posted on Sunday, April 23rd, 2017 at 1:44 am and is filed under Investor Behavior, Thought Process.

 

Stat of the Week [-0.03]

Posted on April 21, 2017, 7:20 p.m. by Systematic Relative Strength @ [source]

While the overall stock market outperforms Treasury bills, most individual common stocks do not. Of the nearly 26,000 common stocks that have appeared on CRSP since 1926, less than half generated a positive holding period return, and only 42% have a holding period return higher than the one-month Treasury bill over the same time interval.

Bill common gains holding lifetime market positive returns stock Treasury

 

Market Insights [0.13]

Posted on April 21, 2017, 4:25 p.m. by Systematic Relative Strength @ [source]

The stock market continued its climb upward during the first three months of the year. We are constantly hearing opinions and reasons why the bull market’s end is near, but the market has been able to shrug these off for years.

broad bull DJIA energy investors market momentum performance quarter strategies

 

Shifts in Sector Leadership [0.08]

Posted on April 6, 2017, 8:53 p.m. by Systematic Relative Strength @ [source]

Trend followers love environments with stable leadership, but the reality is that markets don’t always comply.

Dorsey Wright’s relative strength work is designed to pick up intermediate to longer-term relative strength trends and it is designed to allow us to adapt and change as leadership changes in the market.

consumer exposure investment performance portfolio relative stock strategy tended worst

 

As we noted in one of our recent articles, over the last 20 years, publicly listed companies worldwide have grown significantly in number, while the number of publicly listed companies here in the U.S. has contracted.

Fuwei Films (Holdings) Co., Ltd., together with its subsidiaries, develops, manufactures, and distributes plastic films using the biaxially-oriented stretch technique in the People’s Republic of China.

base films communication end films game offers opportunities portfolio printing services

 

Ben Carlson, quoting research from Dimson, Marsh and Staunton in their Global Investment Returns Yearbook 2017, has some fascinating stats on worldwide publicly listed companies today versus just 20 years ago.

According to CRSP data, there were more than 9,100 U.S.-listed public companies in 1997.

companies equities fewer international investment investors listed opportunities securities stock

 

Click here for a replay of their recent conversation on our International strategy, available as AADR and as an SMA.

This entry was posted on Tuesday, March 21st, 2017 at 2:26 pm and is filed under Momentum.

 

Process over Short-Term Outcome [0.10]

Posted on March 20, 2017, 8:44 p.m. by Systematic Relative Strength @ [source]

Jim O’Shaughnessey, author of What Works on Wall Street, recently wrote about 7 traits that he believes are required for active investors to win in the long run.

Successful Active Investors Value Process over Outcome.

investment investors managers outcomes performance recent results stocks strategy term

 

False Sense of Security with Passive? [0.12]

Posted on March 14, 2017, 6:10 p.m. by Systematic Relative Strength @ [source]

Peter Chiappinelli in Advisor Perspectives sheds some interesting light on the active versus passive debate as it relates to fixed income exposure. Our worry, however, is that investors are feeling a false sense of security, particularly with passive bond portfolios–namely those funds and Exchange Traded Funds (ETFs) linked to a common benchmark, the Bloomberg Barclays U.S.

agg bond coupon duration fixed income investors math portfolio year yields

 

International Climbs the Ranks [0.05]

Posted on March 6, 2017, 3:05 p.m. by Systematic Relative Strength @ [source]

While the bull market in U.S. equities is capturing plenty of headlines, perhaps less well understood is the strength taking place in International equities. As shown below, U.S. equities remain firmly in first place, but International equities currently finds itself in the number two spot.

asset Dorsey Wright global index international market Nasdaq performance rank shown

 

Ever-Increasing Efficiency [0.13]

Posted on March 1, 2017, 2:55 p.m. by Systematic Relative Strength @ [source]

For those of you who have been in this business for a decade or longer, how much more efficient is your business today than it was when you began? Because those advisors who failed to innovate and streamline their business are likely already on to a different career.

advisor business continues Dorsey Wright efficient investment labor management time trend

 

Q&A With John Lewis, CMT [0.16]

Posted on Feb. 27, 2017, 10:51 p.m. by Systematic Relative Strength @ [source]

As we approach the 12-year anniversary of the launch of our family of Systematic Relative Strength Portfolios, we check in with Senior Portfolio Manager, John Lewis, CMT for an update. What do you think is going on with that strategy?

aggressive filter investment market momentum factor performance portfolio positions strategies strategy

 

Politics and Investing [0.16]

Posted on Feb. 21, 2017, 1:57 p.m. by Systematic Relative Strength @ [source]

Last week Bloomberg reported that Americans recently broke the American Psychological Association’s anxiety meter for a record level of stress. How many of your clients invest their politics?

climate current Democratic economy market means political politics presidents republican

 

Sector Performance [-0.03]

Posted on Feb. 16, 2017, 2:56 p.m. by Systematic Relative Strength @ [source]

The table below shows performance of US sectors over the trailing 12, 6, and 1 month(s). Performance updated through 2/15/2017.

accompanied future indicative past performance possibility potential profits results

 

High RS Diffusion Index [0.03]

Posted on Feb. 15, 2017, 2:16 p.m. by Systematic Relative Strength @ [source]

The chart below measures the percentage of high relative strength stocks (top quartile of our ranks) that are trading above their 50-day moving average (universe of mid and large cap stocks.

The 10-day moving average of this indicator is 69% and the one-day reading is 81%.

depreciate directly index indexes invest investments investors strategies times unfavorable

 

This is significantly lower than the 4% growth rate the president has targeted for 2017 and is much closer to estimates of an approximately 2.0-2.2% GDP growth rate in 2017 by several international groups.

For many investors, international markets have a more appealing long term growth story when faced with 2% growth.

allocation correlation developed emerging markets growth investment market past relative universe

 

Click here for a replay of my 2/8/17 webinar.

This entry was posted on Thursday, February 9th, 2017 at 8:35 am and is filed under Momentum.