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On the stock market determines the momentum


Mit speziellen Strategie-Zertifikaten sollen Anleger von charttechnischen Besonderheiten profitieren können. Quelle: ap

With special certificates strategy should investors can profit by technical features. Source: AP

DÜSSELDORF. Thus arose in the course of time, some more or less well-known formulas for indicators that can provide information on market trends.

An example is the Relative Strength Index (RSI), which is often used in so-called momentum strategies. Momentum measures the strength, or the momentum of price movement. In addition, the current course with the price performance of the past is compared. As long as a stock moves very sharply, even the momentum is positive. Once the price rise is losing momentum is the momentum.

For an individual share the calculation of momentum is interesting, but unhelpful. It gets really fascinating when you the momentum of many individual stocks, each with the average momentum of a market compares. It is possible to use the RSI. Chartist filter this indicator stocks with strong momentum from a market out. The idea: A title that has cut off further to the overall market in the recent past, will perform better with high probability even in the near future.

As the market indicator is used as a rule a stock market index for comparison, for example, the Dax. The RSI measures the momentum that is (momentum) of a share, compared to the overall market and tried it a prediction about their future to adopt behavior. One now fishes out the stocks with the highest relative strength, achieved an excess return to compared to the overall investigation.

The hope at least investors, who rely on the validity of the RSI. Different performance Investor, who are convinced of the theory of relative strength and the effects of consistent Momentum Strategy want to benefit, have a choice between certificates of the Deutsche Bank and HSBC Trinkaus. The German bank papers run under the name of TSI certificates were issued about four years ago.

TSI stands for trend-signal indicator. ultimately meant is the Relative Strength Index. The formula for calculating , the magazine "The shareholder", which has applied for the certificates at that time also successful. The first installment was accordingly sold quickly. But there are two successors: the TSI Certificate 2 filters on the stocks with the highest value relative strength from the Dax index, TecDAX and MDAX out and adjusts the composition in a week.

you look at the performance, dasPrinzip seems to be working. With an annual performance of around 167 percent can be the certificate his three comparative indices far behind – even in the long-term Consideration. In the past four years, the rate of the TSI paper has almost tripled.

The second follow-up model, a TSI certificate on the Nasdaq 100 performed in the past 12 months also better than the index itself – not quite as spectacular, but also an excess of more than 13 percent in one year is impressive. In direct comparison to the German banking products cuts the certificate from HSBC slightly weaker.

No 13 percent return in a time where the Dax has risen almost 50 percent in value, rather mau. Seen over the last four years, but also the strength of the certificate can be observed that not only the performance of the three values Dax with the highest relative strength maps, but also has a special feature: the relative strength of all DAX stocks is together too low, the certificate goes into cash to circumnavigate bearish phases.

This has worked well – with two striking effects. First, the longest time the certificate is almost in deep sleep spent. The share price in 2008 was more or less on the spot, as the Dax fell. Secondly, the bottom line is in the certificate a plus of around 27 percent since issuance. This corresponds to an annual rate of six percent.

By comparison, the Dax in the same period a total of only ten percent in value (2.4 percent annualized yield). Obviously it pays to raise a lot of patience and a little acceptance for the relatively high management fees. 1.68 percent per annum be it due.

A glance at the tables surprised 167.69 and 13 percent gain in one year – how can it be that three Certificates with the same basic idea perform so differently? Provide momentum indicators actually reliable Data, or are the results of chance? Science provides evidence that the theory of relative strength, something could be. "Scientific studies show that momentum strategies successfully over a long period are, "says Mark Glaser, a professor of economics at the University of Konstanz.

"However, that it relates to periods of 20 or more. In addition, investors should invest in 30 to 50 companies, which have all heard in recent months to the winner’s shares in order to have a sufficiently diversified portfolio of momentum. "

This could be at first sight an explanation for why the TSI 2 certificate of the German Bank cuts better than the HSBCProdukt. The selection universe of Momentum certificate of Deutsche Bank comprises three different indices of 110 values. This hike to the most promising for the TSI model six Values in the Basket – twice as many as the HSBC product. But, again, on second glance, the theory are discarded. The TSI 3 certificate has developed since issuance worse than the Nasdaq 100

Even allowing for the currency component here remains no outperformance. These conditions are similar to the TSI 2-Paper: A selection universe of 100 stocks and six shares exchanged weekly. However, there is a difference between the TSI-2-paper and other items, the shares of the indices from the MDAX and TecDAX are on average slightly less liquid than shares from the Dax.

This is exactly what could be an advantage in this case. The reason: "The momentum effect is seen more in small and medium sized companies. For very liquid stocks, there is virtually no momentum effect, "says Glaser. The effect probably is fed from a delayed implementation of information acquisition by investors. Securities that are less in focus from reporting point, more acceleration and braking moments in the price move on – ultimately, the expression for the growing or waning investor interest.

Conclusion: on the market momentum for emission allowances have not developed bad. But that is no guarantee that this strategy in future profits does. Investors should not forget that a well-known outperformance strategy fails automatically in the moment in which to apply it to many investors.