Registered I nvestm ent Advisor 5 9 5 E. Colorado Blvd., Suite 5 1 - - PowerPoint PPT Presentation
Registered I nvestm ent Advisor 5 9 5 E. Colorado Blvd., Suite 5 1 8 Pasadena, CA 91 1 0 1 ( 6 2 6 ) 5 35 -0 6 3 0 w w w .dorseyw rightmm.com Relative Streng Relative Strength th Process We use Relative Strength to identify Fast
5 9 5 E. Colorado Blvd., Suite 5 1 8 Pasadena, CA 91 1 0 1 ( 6 2 6 ) 5 35 -0 6 3 0 w w w .dorseyw rightmm.com
How effective has Relative Strength been over tim e?
He’s also known for his long-time association with Eugene Fama at the University
French maintains data from the Center for Research in Security Prices at the University of Chicago and analyzes the returns of various investment strategies, including relative strength. French has data on a simple relative strength model which consists of the top 10%
The portfolio is systematically reconstructed each month.
Conclusions from Dr. French’s Price Momentum Model
return of 1 2 .0 1 % . His Price Momentum Model has had an average annual return of 2 1 .1 4 % .
130% among mutual funds, according to Morningstar.)
Conclusions from Dorsey Wright’s 2005 published research
relative strength
90 100 110 120 130 140 150 160 170 180 Mar- 05 Jun- 05 Sep- 05 Dec- 05 Mar- 06 Jun- 06 Sep- 06 Dec- 06 Mar- 07 Jun- 07 Sep- 07 Dec- 07 Mar- 08 Jun- 08 RS Aggressive S&P 500
4 .4 1 % 1 2 .6 1 % 1 5 .2 5 % S&P 5 0 0 TR Core Aggressive
Aggressive ( Net) Core ( Net) 3 -Year Net Annualized Perform ance
90 100 110 120 130 140 150 160 170 180 Mar- 05 Jun- 05 Sep- 05 Dec- 05 Mar- 06 Jun- 06 Sep- 06 Dec- 06 Mar- 07 Jun- 07 Sep- 07 Dec- 07 Mar- 08 Jun- 08 RS Core S&P 500
Sector Model Review Stock Model Portfolio Construction Sector Model determines the ideal weight of 10 Macro Sectors and 65 Industry Groups Rigorous qualitative review of suggested model changes Universe screened for sufficient liquidity and ranked by relative strength model 20-25 stocks are selected for the portfolio Sell Discipline Disciplined exit criteria based on Relative Strength Rankings
Past performance is no guarantee of future results. Returns are hypothetical through 3/ 31/ 05. Actual accounts were opened and have been invested using the model since second quarter 2005. Please see im portant disclosures in Appendix A.
Hypothetical Historical Perform ance: Core
Past performance is no guarantee of future results. Returns are hypothetical through 3/ 31/ 05. Actual accounts were opened and have been invested using the model since second quarter 2005. Please see im portant disclosures in Appendix A.
Hypothetical Historical Perform ance: Socially Responsible
Past performance is no guarantee of future results. Returns are hypothetical through 3/ 31/ 07. Actual accounts were opened and have been invested using the model since second quarter 2007. Please see im portant disclosures in Appendix B.
“It is not the strongest of the species that survives, nor the most intelligent that
0% 2% 4% 6% 8% 10% 12% 14% 16% 18% Dec-04 Feb-05 Apr-05 Jun-05 Aug-05 Oct-05 Dec-05 Feb-06 Apr-06 Jun-06 Aug-06 Oct-06 Dec-06 Feb-07 Apr-07 Jun-07 Aug-07 Oct-07 Dec-07 Feb-08
Current S&P 500 Materials Weight
0% 5% 10% 15% 20% 25% 30% Dec-04 Feb-05 Apr-05 Jun-05 Aug-05 Oct-05 Dec-05 Feb-06 Apr-06 Jun-06 Aug-06 Oct-06 Dec-06 Feb-07 Apr-07 Jun-07 Aug-07 Oct-07 Dec-07 Feb-08
Current S&P 500 Financials Weight
Relative Strength Spread
For questions about opening an account, please contact Andy Hyer: Phone: 626-535-0630 E-Mail: andyh@dorseywright.com CES Platform Systematic RS Core I MS Platform Systematic RS Aggressive Systematic RS Balanced Systematic RS Socially Responsible Systematic RS Int’l
Historical Performance Of the Dorsey, Wright Systematic Relative Strength Strategies The hypothetical performance charts compare the returns of the Dorsey, Wright Systematic Relative Strength Aggressive and Core strategies with the returns of S&P 500 total return index. The beginning of the test period is December 29, 1995 and is assigned an arbitrary value of 100.00 on that date. The volatility of the Models and of actual Accounts may be different than the volatility of the S&P 500 index. For the Systematic Relative Strength Aggressive and Core Models the performance is that of a hypothetical portfolio managed in accordance with the dictates of their respective strategies for the historical periods indicated and the actual performance of actual Accounts since their inception. The hypothetical returns have been developed and tested by the Manager, but have not been verified by any third party and are unaudited. The performance information is based on data supplied by the Manager or from statistical services, reports, or other sources which the Manager believes are reliable. The performance of the Models, prior to the inception of actual accounts, was achieved by means of retroactive application of a model designed with hindsight. For the hypothetical portfolios, returns do not represent actual trading or reflect the impact that material economic and market factors might have had on the Manager’s decision-making under actual circumstances. Actual performance of each of the account styles may differ from the performance of the hypothetical portfolio for the following reasons: the Account may not be fully invested at all times; not all stocks in the Account may be weighted equally at all times due to appreciation or depreciation in a stock’s value; or in managing the Accounts, Dorsey, Wright & Associates may make limited modifications to the Strategy as necessary to comply with federal tax laws. The returns of the Models do not include dividends. The net performance of the hypothetical portfolios include deduction of a 3% annual fee from the Aggressive and Core portfolios. Dorsey, Wright’s advisory fees are described in Part II of the adviser’s Form ADV. All returns since inception of actual Accounts do reflect reinvestment of dividends and other earnings. Returns of actual Accounts, since inception, are a composite of all Accounts of that style that were managed for the full quarter. All returns since inception of actual Accounts are compared against the S&P 500 total return index or the EAFE total return index. Past performance, hypothetical or actual, does not guarantee future results. In all securities trading, there is a potential for loss as well as profit. It should not be assumed that recommendations made in the future will be profitable or will equal the performance as shown. Investors should have long-term financial objectives when working with Dorsey, Wright & Associates.
Historical Performance Of the Dorsey, Wright Systematic Relative Strength Strategies The hypothetical performance charts compare the returns of the Dorsey, Wright Systematic Relative Strength Socially Responsible Investing (SRI) Core strategy with the returns of S&P 500 total return index. The beginning of the test period is March 30, 2001 and is assigned an arbitrary value of 100.00 on that date. The volatility of the Models and of actual Accounts may be different than the volatility of the S&P 500 index. For the Systematic Relative Strength SRI Core Model the performance is that of a hypothetical portfolio managed in accordance with the dictates of its strategy for the historical periods indicated and the actual performance of actual Accounts since their inception. The hypothetical returns have been developed and tested by the Manager, but have not been verified by any third party and are unaudited. The performance information is based on data supplied by the Manager or from statistical services, reports, or other sources which the Manager believes are reliable. The performance of the Models, prior to the inception of actual accounts, was achieved by means of retroactive application of a model designed with hindsight. For the hypothetical portfolios, returns do not represent actual trading or reflect the impact that material economic and market factors might have had on the Manager’s decision-making under actual circumstances. Actual performance of each of the account styles may differ from the performance of the hypothetical portfolio for the following reasons: the Account may not be fully invested at all times; not all stocks in the Account may be weighted equally at all times due to appreciation or depreciation in a stock’s value; or in managing the Accounts, Dorsey, Wright & Associates may make limited modifications to the Strategy as necessary to comply with federal tax laws. The returns of the Models do not include dividends. The net performance of the hypothetical portfolios include deduction of a 3% annual fee from the SRI Core portfolio. Dorsey, Wright’s advisory fees are described in Part II of the adviser’s Form ADV. All returns since inception of actual Accounts do reflect reinvestment of dividends and other earnings. Returns of actual Accounts, since inception, are a composite of all Accounts of that style that were managed for the full quarter. All returns since inception of actual Accounts are compared against the S&P 500 total return index. Past performance, hypothetical or actual, does not guarantee future results. In all securities trading, there is a potential for loss as well as profit. It should not be assumed that recommendations made in the future will be profitable or will equal the performance as shown. Investors should have long-term financial objectives when working with Dorsey, Wright & Associates.
5 9 5 E. Colorado Blvd., Suite 5 1 8 Pasadena, CA 91 1 0 1 ( 6 2 6 ) 5 35 -0 6 3 0 w w w .dorseyw rightmm.com