Small
Improvement

Major domestic and international themes received a small positive improvement over the past week, but more work needs to be done for these trends to turn bullish. As bond prices have bounced out of the lows, Fixed Income received a welcome (but minor) improvement in the number of funds above their major moving averages. Finally, and unsurprisingly, Commodity Funds received a large improvement over the past week and remained the strongest asset class in our universe from a trend perspective.

Major U.S. Equities & Factors

Signals were few and far between in our scan for this universe this week but note that most of the Dividend related themes continue to remain strong.

S&P 500 High Dividend Low Volatility (SPHD)

SPHD hit our scans this week for a 21/63-day moving average Death Cross after consolidation in the recent selloff. There were 26 instances since 2013 where SPHD experienced a 21/63-day Death Cross for a median gain of 4.19% with a 70.83%-win rate over the following quarter. It’s worth noting that median gains have tended to peak 58 trading days out at 4.43% on an improved 72.00%-win rate, so consideration should be given to hold times.

Historical Performance When SPHD Experiences a 21/63-Day Death Cross

Industries

While the majority of Industries remain below both 50 & 200-day moving averages, note that Energy-related themes continue to make new six-month relative highs.  

Natural Resources (IGE) Relative to S&P 500

IGE hit our scans for new six-month highs relative to the S&P 500 this week after breaking out of short-term relative resistance to the upside. There were 258 instances since 2001 where IGE made a new six-month high relative to the S&P 500 for a median relative gain of 1.48% with a 57.44%-win rate over the following quarter. It’s worth noting that median relative gains have tended to peak 60 trading days out at 1.67% on a slightly reduced 56.97%-win rate, so consideration should be given to hold times.

Historical Relative Performance When IGE Makes a New Six-Month High Relative to S&P 500

Fixed Income

As interest rates continue to consolidate, a small number of funds in our fixed income universe have been able to retake their 50-day moving averages to the upside.

National Munis (MUB) Relative to AGG

MUB hit our scans for new six-month highs relative to AGG this week after breaking out of relative resistance to the upside. There were 184 instances since 2007 where MUB made a new six-month high relative AGG for a median relative gain of 10bps with a 54.02%-win rate over the following quarter.

Historical Relative Performance When MUB Makes a New Six-Month High Relative to AGG

Commodities

A noteworthy improvement has been made in the number of funds recovering their 200-day moving averages, up from last week.

Inverse Commodity Index ETF (DBC)

DBC hit our scans for new six-month highs after breaking out of $28.75 resistance to the upside. There were 288 instances since 2006 where DBC made a new six-month high for a median gain of 3.67% with a 68.21%-win rate over the following quarter.

Historical Performance When DBC Makes a New Six-Month High

Global Regions

While there were no signals on our scan this week, three funds (VYMI, ILF, and EFV) have managed to retake their 50-day moving averages to the upside.

Countries

While the improvement in Global Regions has been minor, a significant number of Country Funds have managed to retake their 50 and 200-day moving averages to the upside over the past week.

Columbia (GXG) Relative to ACWX

GXG hit our scans for new six-month highs relative to ACWX this week after breaking out of relative resistance at the April relative highs to the upside. There were 139 instances since 2009 where GXG made a new six-month high relative to ACWX for a median relative gain of 1.37% with a 52.31%-win rate over the following quarter. While the win rate hasn’t been particularly high, relative strength within the international space has been rare of late, and investors would be prudent to utilize the April relative highs as a potential zone in which to manage relative risk.

Historical Relative Performance When GXG Makes a New Six-Month High Relative to ACWX