Tuesday, July 29, 2014

Ranking the World by Relative Strength - 4 Time Frames

Relative strength is an important and often misunderstood investment thesis. In 1998 UCLA professors Narisimhan Jegadeesh and Sheridan Titman did some tests utilizing relative strength over several different time frames. They found a direct statistically significant correlation between relative strength and later price performance up to 12 months later. The most consistent period for defining the initial relative strength was six months.
There are numerous academic and research papers out there, do a little research to find them. Other proponents of relative strength include but are not limited to: Bill O'Neal (I B D), James P O'Shaughnessy (What Works on Wall Street), and Charles Kirkpatrick (CMT) and author of several technical analysis and trading books.
Today I'll rank International markets by relative strength over 4 time frames. Compare to the last time I ran this screen April 10 of this year.  HERE!  The sort is by 3 month relative strength.

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