Rank each tracked equity's return vs its GICS sector ETF over 1-month and 3-month windows
Answers whether a stock is leading or lagging its sector rather than just rising with the market. It reads up to 220 adjusted daily candles for the stock and its sector-ETF benchmark (with SPY as a fallback) and computes 20- and 60-day returns and the return spread versus the benchmark. It classifies each name as sector leader, laggard, relative-strength reversal, or in-line with a 0-100 score. Use it to see which names are leading their sector versus merely riding a broad tide.
Relative strength - a simple calculation resting on a real and well-documented empirical result.
THE CALCULATION. Return over a window, minus the benchmark's return over the same window. Nothing more. Its value is entirely in the choice of benchmark: measured against a sector ETF, the spread isolates what is specific to the company from what its whole sector did. A stock up 8% while its sector is up 12% has risen and underperformed, and only the second fact is informative about the company.
THE EVIDENCE BEHIND IT, which is stronger than for most technical measures. Jegadeesh and Titman (1993) documented that US stocks with high returns over the prior 3 to 12 months continued to outperform over the following 3 to 12 months - the cross-sectional MOMENTUM effect. It has been replicated across markets and asset classes and is one of the most persistent anomalies in the empirical literature. It comes with qualifications, all of which are established: momentum reverses at longer horizons (De Bondt and Thaler documented 3-to-5-year reversal), it suffers occasional severe CRASHES concentrated in market rebounds after declines, and the very short horizon behaves oppositely - one-month returns exhibit REVERSAL rather than continuation, which is why the standard construction skips the most recent month.
NOTE WHAT THAT LAST POINT IMPLIES HERE. This reads 20- and 60-day windows. Twenty trading days is approximately one month, which is the horizon at which the documented effect is reversal rather than momentum. The 60-day figure sits at the short end of the momentum range. The academic result does not straightforwardly transfer to the shorter window, and a student should notice the mismatch rather than assume the citation covers it.
THE BENCHMARK-CHOICE PROBLEM. Relative strength is only as meaningful as the comparison. A sector ETF is a defensible benchmark for a stock genuinely in that sector; the fallback to SPY compares against the broad market instead, which measures something different. Each row names the benchmark it used, so scores compared across names may not have been measured against the same thing. Classification is also arbitrary at the edges: sector leader versus in-line is a threshold on a continuous spread.
'RELATIVE-STRENGTH REVERSAL' deserves particular care, since identifying a turn in a spread is a change-point problem, and a short-window spread is noisy enough that apparent reversals occur constantly by chance.
The windows, the 0-100 score and the classification cut-offs are our own convention.
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