The table below shows the performance of a universe of mid and large capU.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 (8/15/11 – 8/19/11) is as follows:
Well, that was unpleasant. After the top quartile outperformed the bottom quartile by 4.49% two weeks ago, the top quartile gave some of that relative performance back last week, underperforming the bottom quartile by 0.57% and underperforming the universe by 1.05%.