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Activity Number:
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140
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Type:
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Topic Contributed
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Date/Time:
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Monday, July 30, 2007 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Statistical Education
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| Abstract - #310015 |
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Title:
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Success of Relative Strength Investing Within Similar Asset Classes
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Author(s):
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Marshall Schield*+ and Milo Schield
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Companies:
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Stir Research and Augsburg College
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Address:
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665 Glacier Club Drive Unit 6, Durango, CO, 81301,
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Keywords:
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Abstract:
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A mutual fund analysis of Callan data found that buying last year' winners gave less growth than simply diversifying the portfolio each year. The mutual fund analysis implied that using relative strength to make purchases was suboptimal. However, the same study with repeated with dramatically different conclusion. Buying last years leaders gives the investor a tremendous lead. Why the difference? The difference is whether the asset classes are similar or different. The Callan table includes a bond as an asset class, along with 7 equity asset classes. The bond class is extremely influential. It is like a confounder; it distorts the data. If you do the same study using only equity classes, buying last year's leader works extremely well. This phenomenon is verified using different types of assets.
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