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Dorsey Wright Money Management
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The Dorsey Wright Money Management team is composed of Michael Moody, Harold Parker, John Lewis, Andy Hyer, and JP Lee. Mr. Moody and Mr. Parker, Senior Portfolio Managers, joined Dorsey Wright Money Management in 1994. John Lewis, Portfolio Manager, joined the team in 2002. Andy Hyer, Marketing... More
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Dorsey Wright Money Management
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Systematic Relative Strength Investing
  • Weekly RS Recap 0 comments
    Dec 14, 2009 1:02 PM
    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 (12/7/09 – 12/11/09) is as follows:

    Relative strength laggards saw slightly better performance than relative strength leaders last week.

    The chart below is the spread between the relative strength leaders and relative strength laggards of the same investment universe (U.S. mid and large cap stocks.)  When the chart is rising, relative strength leaders are performing better than relative strength laggards.

    (Click to Enlarge)

    The laggard rally from the March 9th lows seems to have transitioned into a period that is currently favoring the relative strength leaders and relative strength laggards equally.

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