From time to time we like to look at what's been working (or not) in the market over various periods of time. When the market was not moving +20% in 7 weeks, or -20% in 7 weeks on an alternating basis (student body left trading) I used to find a lot of interesting data in these sort of scans in terms of where the relative strength is. Nowadays, I think the overall market is dominant and stock picking is secondary. I've had this thesis since last summer; once the commodities trade blew up there was no place to hide and most asset classes seemed to simply trade in a monolithic nature. To that point Mike Santoli wrote in this week's Barron's a confirmation of my gut feel in Not a Stockpicker's Market

  • Still, even as overall volatility and fear levels have ebbed, the market isn't yet making as many fine discernments among stocks as most would hope . On a three-month basis, the correlation among all stocks has been running above 0.8% (suggesting 80% of a stock's direction is market-determined ).
  • Robin Carpenter, a quantitative investment consultant at www.CarpenterAnalytix.com, finds evidence of emerging stock-by-stock variance lacking in recent market statistics. He does see some hints that stocks within industries are beginning to go their separate ways, but in general the market's overall direction retains sway.
  • This is perhaps not a surprise in the present climate, in which short-term ETF rentals pass for investing in many quarters . But it adds to the list of challenges facing performance-pressed investors -- a list that includes a tendency for large day-to-day direction changes even in a range-trapped tape .

With that said, I wanted to take a look at what's been working the past month (which in my world is roughly 4 weeks) - obviously with commodities flying [ May 30, 2009: Commodities Set for Best Month Since 1974 ] I expected this list to look very similar to what was working in latter 2007 or first half 2008. I was not disappointed - this list is chock full of old holdings of ours from that time frame...


Here are the criteria I use to make sure we are looking at more liquid names, and not the single digit midgets which have been the speculators favorite of late. I arbitrarily used $750M as the bottom of my range to exclude a lot of small caps that daytraders have been gravitating to and moving in huge swings.


Criteria

  1. Market capitalization $750M+

  2. Average trading volume 200K+
  3. Stock price $10+
  4. Return the past 4 weeks 30%+

Some of the sectors captured below

Outside those groups, some interesting one offs include: a few apparel companies (GIL, JCG), a few smallish technology companies (TSRA, DDUP), CME Group (CME) and hog producer SFD which we've talked about quite often.


SymbolCompany Name% Price ChgMkt Cap
TXTernium SA92.13,431
MTLMechel ADR Rep 3 Ord Shs77.34,583
YGEYingli Green Energy Holding74.21,625
STECSTEC Inc67.1794
LNCLincoln National Corp66.44,853
CPNCalpine Corp65.25,810
FCLFoundation Coal Holdings Inc63.31,312
TSRATessera Technologies Inc61.71,142
PEGAPegasystems Inc60.7946
SLTSterlite Industries (India) Ltd54.69,333
IBNICICI Bank ADR51.517,337
GILGildan Activewear Inc49.81,989
PLProtective Life Corp48.9866
DDUPData Domain Inc47.61,561
SASeabridge Gold Inc45.21,087
CMECME Group Inc44.521,345
GGGoldcorp Inc44.429,009
SFDSmithfield Foods Inc44.41,785
PFGPrincipal Financial Group Inc43.95,772
HLFHerbalife Ltd43.81,798
JCGJ Crew Group Inc43.31,617
IFNIndia Fund Inc42.61,135
PLTPlantronics Inc42.6872
PXPPlains Exploration & Production42.53,396
PRUPrudential Financial Inc41.616,934
COFCapital One Financial Corp41.09,675
GOLDRandgold Resources ADR40.95,352
PAASPan American Silver Corp40.72,043
AEMAgnico-Eagle Mines Ltd39.49,629
GRAW.R. Grace & Co39.4937
VRXValeant Pharmaceuticals Int'l39.21,889
HXMDesarrolladora Homex DR39.11,509
GGBGerdau SA Depository Receipt39.014,772
SSRISilver Standard Resources Inc39.01,639
ARAAracruz Celulose ADR37.12,745
IGTInternational Game Technology36.55,144
TMKTorchmark Corp36.53,323
AUAngloGold Ashanti ADR36.415,157
SLWSilver Wheaton Corp36.33,026
CNWCon-Way Inc36.11,486
BRSBristow Group Inc36.1922
BEAVBE Aerospace Inc36.01,501
AUYYamana Gold Inc35.98,626
HIGHartford Financial Services35.84,667
WCRXWarner Chilcott Ltd35.73,307
STTState Street Corp35.320,195
OISOil States International Inc35.21,295
WLLWhiting Petroleum Corp34.72,382
TCKTeck Resources Ltd34.67,648
SFLShip Finance International Ltd33.6926
MDRMcDermott International Inc33.35,021
VIPVympelKom OAO33.013,221
HDBHDFC Bank Ltd32.814,104
CUBCubic Corp32.71,020
CTRPCtrip.com32.42,741
KWKQuicksilver Resources Inc32.01,901
PCZPetro-Canada31.921,094
FTOFrontier Oil Corp31.41,830
TNPTsakos Energy Navigation Ltd31.4832
ABXBarrick Gold Corp31.333,254
PTRPetrochina Depository Receipt30.7212,840
BVNBuenaventura ADR30.67,228
ACGYAcergy ADR30.41,891
KGCKinross Gold Corp30.313,938
GFIGold Fields ADR30.39,564
SLGSL Green Rlty REIT30.11,311
WFCWells Fargo & Co30.0108,728