Despite strong upside performance in the major equity indices over the past week, it was not enough to bring any funds to our domestic or international major equities and factors fund lists. Commodity funds begin to falter as the percentage of funds maintaining ground above their 50 and 200-day moving averages continues to wane. Despite a reprieve in interest rates over the past week, it still hasn’t been enough to boost a noteworthy amount of funds in our fixed income universe to the upside.
Major U.S. Equities & Factors
There were no signals on our universe of Major Equities & Factors this week but note that no funds have been able to close above their 50 or 200-day moving averages.
Industries
While most funds in our Industry universe remain below their 50-day moving averages, it was noteworthy to see biotech themes (XBI and IBB) regain ground above their 50-day moving averages. Could this be an early sign of risk appetite? Only time will tell.
Oil Services (OIH)
OIH hit our scans for a 21/63-day Death Cross this week after a test of support at the $225 zone. There were 49 instances since 2001 where OIH experienced a 21/63-day Death Cross for a median gain of 3.21% with a 61.70%-win rate over the following quarter. It’s worth noting that median gains have tended to peak 57 trading days out at 4.35% on a reduced 57.45%-win rate, so consideration should be given to hold times. While these results have been attractive, investors would be prudent to utilize the $225 zone for risk management.
Historical Performance When OIH Experiences a 21/63-Day Death Cross
Fixed Income
There were no signals within our fixed income universe this week. However, Interest Rate Volatility and Inflation (IVOL) managed to be the only fund to regain its 50-day moving average to the upside.
Commodities
It would appear that the sellers have finally found the commodity space, as only two funds (UGA and DBE) remain above their 50-day moving averages.
Cotton ETN (BAL) Relative to Bloomberg Commodity Index
BAL hit our scans for new three-month lows relative to the Bloomberg Commodity Index this week after a test of relative support at the highlighted zone. There were 54 instances since 2018 where BAL made a new three-month low relative to the Bloomberg Commodity Index for a median relative gain of 3.01% with a 61.54%-win rate over the following quarter. It’s worth noting that median relative gains have tended to peak 51 trading days out at 6.23% on an improved 71.15%-win rate, so consideration should be given to hold times. While these results have been attractive, investors would be prudent to receive them with reduced enthusiasm due to the limited history (2018).
Historical Performance When BAL Makes a Three-Month Low Relative to Commodities
Global Regions & Factors
Much like the price action domestically, none of the funds in our universe have been able to maintain ground above either 50 or 20-day moving averages.
International Momentum (IMTM) Relative to ACWX
IMTM hit our scans for new three-month lows relative to ACWX this week after a test of relative support at the highlighted zone. There were 72 instances since 2015 where IMTM made a new three-month low relative to ACWX for a median gain of 67bps with a 68.57%-win rate over the following quarter. It’s worth noting that median relative gains have tended to peak 47 trading days out at 1.10% on an improved 74.29%-win rate, so consideration should be given to hold times.
Historical Relative Performance When IMTM Makes a New Three-Month Low Relative to ACWX
Countries
Individual countries continue to struggle below their major moving averages, with the exceptions of China (FXI, ASHR) and Portugal (PGAL).
Argentina (ARGT) Relative to ACWX
ARGT hit our scans for new three-month lows relative to ACWX this week after a test of long-term relative support at the highlighted zone. There were 181 instances since 2011 where ARGT made a new three-month low relative to ACWX for a median relative gain of 3.32% with a 66.48%-win rate over the following quarter. It’s worth noting that median relative gains have tended to peak 57 trading days out at 3.97% on an improved 67.05%-win rate, so consideration should be given to hold times.
Historical Relative Performance When ARGT Makes a New Three-Month Low Relative to ACWX
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