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New Feature on Investor IQ: Asset Class Breadth and Relative Strength Summary Statistics

May 28, 2019

One of the new features introduced yesterday on Investor IQ is a summary of the breadth and relative strength of various asset class categories. This helps provide another layer of information for investors to determine which asset classes to focus on and which to avoid. We compile the % of buy signals using a matrix of trend and momentum signals as well as the average RS or Relative Strength using momentum within the asset class category. The best combination is obviously high % of buy signals and high RS. However a high RS with a low% of buy signals indicates caution as not all areas are participating as they would typically in a healthy market. The RS Spread is the difference between the strongest and weakest performer in the category and indicates the degree of opportunity for long/short portfolios within the same asset class. A visual of the current output can be seen below:

The asset class categories are listed in order of average RS. We can see that domestic equity and style,sector and factor components have the strongest relative strength. Traditional equity factors have the highest % buys within the domestic equity category. On the international front things are looking challenging – likely the result of the trade war. The % buys across countries is only 40% which suggests that markets across the globe are broadly struggling right now. This also correlates with the weakness in both breadth and relative strength in the Currency category which only has 14% buys and has the weakest asset class category average RS of only 7. The strongest asset class categories in terms of breadth are bonds and credit which is a trend worth watching. Commodities are the worst performing category in terms of breadth with 0% buys and also are relatively weak with an average RS of 28. The RS Spread of Commodities is the highest across asset class categories which indicates a good opportunity to go long a strong market such as Oil (USO) and short a weak market such as Gas (UNG).

This summary is a good way to keep on top of the market and spot new opportunities to overweight/underweight certain asset class categories.

4 Comments leave one →
  1. Thomas Pasturel permalink
    May 29, 2019 4:15 am

    You are one of the only persons who makes me want to trade again. Damn! 🤓

  2. Thomas Pasturel permalink
    June 5, 2019 2:12 am

    Can I call you today in the evening my time? 10 or 11 am your time?

    Thomas

    07 61 89 06 57

    * VOUS AVEZ MANQU* *É LA CAMPAGNE * * DE CROWDFUNDING ?*

    *Choisissez une contrepartie sur fournil1672.com puis contactez-moi, on va s’arranger…* * INTERVIEW *

    *Ensemble c’est mieux France 3 NormandieEmission du 22 mai à 26″46*

  3. Thomas Pasturel permalink
    June 5, 2019 2:17 am

    USO went from Buy to Sell between your May 23 post and now (both USO & UNG went down meanwhile, the pair trading would have been about flat). Do you plan on making available a subscription system for people like me who like to know changes in signal? I’m just curious, I want to be able to follow what your models say even if I don’t act on it (I sold everything in my IB account on Jan 5, 2018 when the markets started to go exponential with low volatility).

    Thomas

    07 61 89 06 57

    * VOUS AVEZ MANQU* *É LA CAMPAGNE * * DE CROWDFUNDING ?*

    *Choisissez une contrepartie sur fournil1672.com puis contactez-moi, on va s’arranger…* * INTERVIEW *

    *Ensemble c’est mieux France 3 NormandieEmission du 22 mai à 26″46*

    • david varadi permalink*
      June 12, 2019 8:05 pm

      thanks Thomas, I will be creating a subscription product down the line which will have much greater functionality. however this free service is currently updated weekly (by Monday morning the new signals are posted)

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