As Global Equity market volatility remains elevated, the focus for investors who must maintain equity allocations continues to be a relative game. Despite a reprieve in interest rates backing off from their upside trend, it still hasn’t been enough for major fixed income ETFs to start regaining ground above their 50-day moving averages. While equities and fixed-income have felt the heat, the Commodity space continues to hold up well in this environment.
Major U.S. Equities & Factors
Seemingly relentless volatility continues to pressure equities across the board. Only two themes (Dividend) are above their 200-day moving average, while no funds in our universe were able to recover ground above the 50-day moving average.
Value (IWD) Relative to S&P 500
IWD hit our scans for new six-month relative highs this week after breaking out of relative resistance to the upside. There were 246 instances since 2000 where IWD made a new six-month high for a median relative gain of 24bps with a 53.65%-win rate over the following quarter. It’s worth noting that median relative gains have tended to peak 50 trading days out at 39bps on an improved 58.65%-win rate, so consideration should be given to hold times.
Historical Relative Performance When IWD Makes a New Six-Month High Relative to S&P 500
Industries
Only two themes (Energy and Natural Resources) retain ground above their 50-day moving average, while a mixture of defensive and inflation-related themes are still hanging on to their 200-day moving average.
Health Care Providers (IHF) Relative to S&P 500
IHF hit our scans for new six-month relative highs this week after breaking out of relative resistance to the upside. There were 269 instances since 2006 where IHF made a new six-month high for a median relative gain of 1.77% with a 57.42%-win rate over the following quarter. It’s worth noting that median relative gains have tended to peak 59 trading days out at 2.26% on an improved 61.63%-win rate, so consideration should be given to hold times.
Historical Performance When IHF Makes a New Six-Month High Relative to S&P 500
Fixed Income
There were no signals on our fixed income scan this week, despite a small reprieve in interest rates over the past week for fixed income funds. Only one fund (SHV) maintains ground above its 50-day moving average, while no funds have been able to recover their 200-day moving average.
Commodities
While signals were few and far between in the Commodity Fund space this week, this asset class still maintains the highest percentage of funds above their 50 & 200-day moving averages.
Cocoa (NIB)
NIB hit our scans for new three-month lows this week after a test of support at the $26.60 zone. There were 241 instances since 2008 where NIB made a new three-month low for a median gain of 2.89% with a 58.55%-win rate over the following quarter. While these results have been positive, investors would be prudent to utilize the $26.60 zone for risk management.
Historical Performance When NIB Makes a New Three-Month Low
Global Region
Global equity market volatility continues to pressure the major regions, with only one fund (ILF) above its 200-day moving average, while no funds can hold ground above their 50-day moving average.
Frontier Markets (FM) Relative to ACWX
FM hit our scans for new six-month lows relative to ACWX this week after a test of long-term relative support at the highlighted level. There were 79 instances since 2012 where FM made a new six-month low relative to ACWX for a median relative gain of 3.57% with a 64.94%-win rate over the following quarter.
Historical Relative Performance When FM Makes a New Six-Month Low Relative to ACWX
Countries
Only two funds (PGAL & ECH) maintain ground above their 50-day moving average, while a scattered small percentage of funds are above their 200-day moving averages as individual countries struggle in this period of heightened volatility.
Spain (EWP) Relative to ACWX
EWP hit our scans for new six-month highs relative to ACWX after breaking out of long-term relative resistance to the upside. There were 86 instances since 2008 where EWP made a new six-month high relative to ACWX for a median relative gain of 1.27% with a 58.67%-win rate over the following quarter. It’s worth noting that median relative gains have tended to peak 57 trading days out at 2.14% on an improved 60.00%-win rate, so consideration should be given to hold times.
Historical Relative Performance When EWP Makes a New Six-Month High Relative to ACWX
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