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7 comments:

Sean said...

I love how in every ETF relative strength report (not just this one) the 3x levered funds, or the 3x inverse levered funds always come out on top. It would be more interesting to see a RS scan that excluded these funds because then you might get some more interesting data.

For instance there is no 3x Brazil fund, but yet BRF (a small cap brazil ETF) has outperformed EEM by about 40% on an unlevered basis on a year-to-date basis.

By definition, if things are good a 3x levered fund will do well, but I'm not sure that tells you very much...

Pradeep Bonde said...

For that all that needs to be done is to look at top 20 etf rather than top 10.
If it has relative strength, it will show up.

Sean said...

I think you missed my point. Leveraged ETFs skew your results and should be kept in a separate category. Unlevered ETFs would give you a much better view of what sector/country/index/style has the most RS.

Let me put it this way: Which would you rather have: a 70% return in a 3x etf, and 60% return in a 2x etf, or a 50% return in an unlevered ETF? The last item has performed the best... Buy that security on margin if you want leverage and you'd beat the returns of the other two items, yet it wouldn't come up in this scan.

Leverage should not factor into the analysis is my point.

Pradeep Bonde said...

Ok. I got your point. By that logic you would get
tur
gxc
ewz
bkf
slv
gdx
epi
thd
pin
kol

Sean said...

So what time Frame are you looking at the RS over because different time periods would get you different securities....

Over the last 3 mo, best returns I see are:
BRF +47%
RSX +47
DNH +39
GUR +38
EWO +38
EWA +37
EWZ +35
FCG +35
TUR +34
FXN +33

Over the last 1 month:
JJG +16.3
RSX +15.3
UGA +13.5
BRF +13.4
OIL +12.6
USO +12.2
EWZ +12.2
RJN +11.8
DBE +11.7
DBO +11.7

And over the last 5 days:
TAO 6.6
DBB 6.2
JJC 5.5
UGA 5.1
JO 4.9
JJG 4.7
USL 4.5
DBO 4.3
OIL 4.2
BHH 4.1

Themes: EM (esp China & Brazil), Commodities (Metals & Ag), and Energy

Pradeep Bonde said...

6 month relative strength.

Sean said...

6mo? When was the last time you held a stock for 6mo? hehehe. Anyway, enough out of me, thx for the reply.