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As the downside pressure resumes across major equity indexes around the world, fixed income funds continue to offer no port in the storm. Commodity funds remain resilient in this environment from a trend perspective. Across asset classes, investors would be prudent to continue being selective and focus on what is “less bad” in this environment.

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Major U.S. Equities & Factors

The minor improvement that we noted in our scans last week has dwindled within U.S. Equities & Factors, with no funds in our universe above their 50-day moving averages.

Russell 2000 Value (IWN) Relative to S&P 500

IWN hit our scans this week for new six-month highs relative to the S&P 500 after breaking out of relative resistance to the upside. There were 328 instances since 2000 where IWN made a new six-month high relative to the S&P 500 for a median relative gain of 1.18% with a 59.51%-win rate over the following quarter. It’s worth noting that median relative gains have tended to peak 61 trading days out at 2.02% on a slightly reduced 57.67%-win rate, so consideration should be given to hold times.

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

Industries

Only Energy-related themes (XOP, OIH, AMLP) and Natural Resources (IGE) themes have been able to retain ground above their 50-day moving averages.

Aerospace & Defense (PPA) Relative to S&P 500

PPA hit our scans this week for new three-month highs relative to the S&P 500 after breaking out of relative resistance to the upside. There were 383 instances since 2006 where PPA made a new three-month high relative to the S&P 500 for a median relative gain of 87bps with a 57.74%-win rate over the following quarter.

Historical Relative Performance When PPA Makes a New Three-Month High Relative to S&P 500

Fixed Income

As interest rates resume their uptrend and continue to pressure the space, only one fund, Short-Term TIPS (VTIP) retains ground above its 50-day moving average.

Short-Term TIPS (VTIP) Relative to AGG

VTIP hit our scans for new six-month highs relative to AGG after breaking out of relative resistance to the upside. There were 135 instances since 2012 where VTIP made a new six-month high for a median relative gain of 85bps with a 65.55%-win rate over the following quarter. It’s worth noting that median relative gains have tended to peak 51 trading days out at 1.06% on a slightly improved 66.94%-win rate, so consideration should be given to hold times.

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

Commodities

Compared to other major asset classes, our universe of Commodity Funds has been holding up more resiliently, with the highest percentage of funds above their 200-day moving averages.

Palladium (PALL)

PALL hit our scans this week for new three-month lows after a test of long-term support at the $173 zone. There were 111 instances since 2010 where PALL made a new three-month low for a median gain of 5.34% with a 70.37%-win rate over the following quarter. It’s worth noting that median gains have tended to peak 47 trading days out at 7.61% on a slightly reduced 69.44%-win rate, so consideration should be given to hold times. While these results have been attractive, investors would be prudent to utilize the $173 zone for risk management.

Historical Performance When PALL Makes a New Three-Month Low

Global Regions & Factors

The downside pressure remains within Global Regions and Factors, with no funds in our universe able to maintain ground above their 50 & 200-day moving averages.

International Developed Quality Factor (IQLT) Relative to ACWX

IQLT hit our scans this week for new six-month lows relative to ACWX after a test of long-term relative support at the highlighted zone. There were 47 instances since 2015 where IQLT made a new six-month low relative to ACWX for a median relative gain of 27bps with a 56.52%-win rate over the following quarter. It’s worth noting that median relative gains have tended to peak 14 trading days out at 46bps on an improved 67.39%-win rate, so consideration should be given to hold times.

Historical Relative Performance When IQLT Makes a New Six-Month Relative Low

Countries

The percentage of Country Funds above their 50-day moving averages took a downside hit over the past week, with only three retaining grounds above Portugal (PGAL) and China (FXI, ASHR). 

Australia (EWA)

EWA hit our scans for new six-month lows this week after a test of support at the $22.20 zone. There were 154 instances since 1996 where EWA made a new six-month low for a median gain of 3.65% with a 62.75%-win rate over the following quarter. While these results have been attractive, investors would be prudent to utilize the $22.20 zone for risk management.

Historical Performance When EWA Makes a New Six-Month Low

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Disclosure: This information is prepared for general information only and should not be considered as individual investment advice nor as a solicitation to buy or offer to sell any securities. This material does not constitute any representation as to the suitability or appropriateness of any investment advisory program or security. Please visit our FULL DISCLOSURE page.