Relative Strength (12M)
12M momentum relative to the benchmark
Description
Relative strength shows whether an asset performed better or worse than its benchmark over the last 12 months.
The benchmark value is the benchmark’s 12–1 momentum return (last month skipped).
Example: if an ETF returns +10% and the benchmark returns +5%, relative strength is positive (outperformance).
Source
Calculation
- ((1 + mom_asset) / (1 + mom_benchmark)) − 1
Interpretation
- Higher is better (more outperformance versus the benchmark).
- Negative values mean underperformance: the asset lagged the benchmark.
Ranking
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