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 (12/14/09 – 12/18/09) is as follows:There was very little separation in performance between the different relative strength quartiles last week. This continues a trend that we have seen over the last couple months where relative strength leaders and relative strength laggards have performed very similarly. This is a big change from the dramatic outperformance seen in the relative strength laggards in the initial thrust off the March lows. I suspect that the further that we get from the March lows, the better relative strength strategies will perform.