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Technicals - AIQVM, S&P 500: Growth, Value, Cap & Equal Weight
October 19, 2017

The Arrow Insights Quality Value Momentum Index (AIQVM)1 employs quality and value metrics to select the top 50 stocks from several thousand large–, medium– and small–capitalization weighted (CAP) companies from the Ford Equity Research universe. Over the past five years, AIQVM underperformed the Standard & Poor's 500's CAP and Equal Weight (EqW) Indexes (Figure 1). Since July 2016, AIQVM has bested the CAP and EqW versions of the S&P–this at a time when the S&P Growth index bested the S&P Value Index. Over the past three months, AIQVM has bested CAP, EqW and all S&P equity sectors with the exception of the technology sector (Figure 2).

AIQVM's is a strong buy relative to SPX and SPXEW based upon five short–, four medium– and four long–term technical indicators employed at www.barchart.com. Figures 3–5 chart the five–year performance of AIQVM, the CAP ($SPX) and the EqW ($SPXEW) indexes in the top panel while plotting the index's relative price strength (RSI), true strength (TSI) and its percent price oscillator indicators (PPO) in the bottom panels through October 13, 2017. Equity price trends are strong in 2017. Year–to–date 2017 (YTD), AIQVM leads the EqW but is slightly behind the CAP index.

Figure 1. AIQVM, S&P: Growth, Value, Cap & EqW Indexes – 5 Years, Oct 13, 2017

InFocus Highlights –

  • Over the past three months (3M), AIQVM is up 5.2% while CAP and EqW have gained 4.1% and 2.9%, respectively. Technology stocks dominate as they soar 7.1% (Figure 2).
  • Since Oct 12, 2012, CAP's cumulative return is 78% while AIQVM is up 84% and EqW rose 84.5% (Figures 3-5).

Figure 2. AIQVM, CAP, EqW & Sector – 3M – Oct 13, 2017

Figure 3. AIQVM Cumulative Return & Technicals – 5 Years, Oct 13, 2017

Figure 4. S&P 500 CAP – Cumulative Return & Technicals – 5 Years, Oct 13, 2017

Figure 5. S&P 500 EqW – Cumulative Return & Technicals – 5 Years, Oct 13, 2017

1 AIQVM is a diversified composite of U.S. stocks. Two sets of twin quality metrics (dividend yield + return on equity and buy-backs + earnings variability) are employed to select the top 50 stocks from an equity universe of about 3,500 firms. Value measures consistency of operating earnings to price ratio over long time periods. Quality + Value factors provide a defensive characteristic to the portfolio that reduces volatility of returns and mitigates losses in market declines. Quality + Value enable the Index to include a mix of undervalued stocks whose prices are exhibiting long term momentum, which increases the potential for equity gains during market advances. Q+V+M are uncorrelated, which offers potential diversification. Equity components are reconstituted in January and July, rebalanced quarterly on an equal weighted basis.

DISCLOSURE: This report is not intended to, and does not, provide investment advice. It was prepared without regard for any investor’s specific circumstances or objectives. The securities shown may not be suitable for all investors. Arrow Insights recommends that investors independently evaluate particular investments and strategies. The appropriateness of an investment or strategy will depend on investor circumstances and objectives.

The contents are not an offer to buy or sell any security or to participate in any trading strategy. Arrow Insights and its affiliates may have investments in securities or derivatives of securities mentioned in this report, and may trade them in ways different from those discussed in this report.

Arrow Insights and its affiliate companies conduct business related to securities covered in its research reports, which may include market making and specialized trading, risk arbitrage and other proprietary trading, fund management, and investment services. Arrow Insights makes every effort to use reliable, comprehensive information, but we make no representation that it is accurate or complete. We have no obligation to tell you when opinions or information in this report change apart from when we intend to discontinue research coverage of a subject company.

Reports prepared by Arrow Insights research personnel are based on public information. Facts and views presented in this report have not been reviewed by, and may not reflect information known to, all professionals affiliated with Arrow Insights.

Past performance is not a guide to future performance. Any estimates of future performance are based on assumptions that may not be realized.



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