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Tactical Market Trends: Low-Volatility Leads the Equity Breadth Shift
Price participation rose to 63%; relative breadth is 59% vs S&P 500 SPY.
Three leader clusters, low-volatility, quality, and developed ex-US equity, define equity participation at the close on October 21. 37 of 59 equity ETFs (63%, +8.5pp on the day) hold above their 20-day moving average (20D MA). 34 of 58 (59%, -1.7pp) beat the S&P 500 SPY on a ratio basis. China and Korea, broader emerging markets, growth-heavy US equity, and momentum-value factors fill four laggard clusters. US broad market and small-cap growth recoveries hold above their price averages with ratios below the ratio MA vs the benchmark.
Fixed income relative winners vs Aggregate Bonds AGG concentrate in long duration, inflation-linked bonds, municipals, and investment-grade credit. Short-duration breadth is 2 of 2 above their 20D MA and below the benchmark on both ratios. Long-duration breadth is 1 of 1 above its price average and on the relative leader side.
6 of 15 specialty ETFs beat the S&P 500 SPY, led by real estate, biotech, low volatility, and bitcoin. Bitcoin Trust IBIT crossed above its 20-day MA and its ratio MA vs the benchmark. Managed futures holds above its price average with the ratio below the benchmark. Oil and broad commodities lead commodities, and silver sits on the laggard side.
20-Day Tactical Breadth
Key Takeaways
Managed Futures DBMF, up 1.84% over the trailing 20-day window, crossed above its 20D MA. Its ratio vs the S&P 500 SPY crossed below its ratio MA.
S&P SmallCap Growth SLYG crossed above its 20D MA and below its ratio MA vs the S&P 500 SPY. Daily, weekly, and monthly equity alignment is 49%, with low-volatility, quality, and Brazil equity on the leader side and emerging markets, China-linked equity, and small-cap growth on the laggard side.
Fixed income relative winners vs Aggregate Bonds AGG center on long duration and inflation-linked bonds. Intermediate duration and short duration lag on a ratio basis. Broad commodities and oil lead commodities. Silver ranks on the laggard side.
Featured ETF: iMGP DBi Managed Futures Strategy ETF DBMF
Technical Signals
Equity: Price vs 20-day MA
| Signal | Ticker | Name | 20D perf |
|---|---|---|---|
| Cross-up | EFA | iShares MSCI EAFE ETF | -0.71% |
| Cross-up | SLYG | SPDR S&P 600 Small Cap Growth ETF | -0.37% |
| Cross-up | URTH | iShares MSCI World ETF | +0.31% |
| Cross-up | VTI | Vanguard Total Stock Market Index ETF | +0.50% |
Equity vs SPY: Price Ratio vs 20-day MA
| Signal | Ticker | Name | 20D rel perf |
|---|---|---|---|
| Cross-down | SLYG | SPDR S&P 600 Small Cap Growth ETF | -1.05% |
Specialty: Price vs 20-day MA
| Signal | Ticker | Name | 20D perf |
|---|---|---|---|
| Cross-up | IBIT | iShares Bitcoin | unch. |
| Cross-up | FTLS | First Trust Long/Short Equity ETF | +1.18% |
| Cross-up | DBMF | iMGP DBi Managed Futures Strategy ETF | +1.84% |
Specialty vs SPY: Price Ratio vs 20-day MA
| Signal | Ticker | Name | 20D rel perf |
|---|---|---|---|
| Cross-up | IBIT | iShares Bitcoin | -0.77% |
| Cross-down | DBMF | iMGP DBi Managed Futures Strategy ETF | +1.15% |
Related
- SPY candlestick signals: forward returns by pattern and sentiment
- Fear and greed: today's market sentiment reading
- ETF trend metrics explained
Romain Gandon
CEO, Quantlake
Disclaimer: This article is for informational and educational purposes only and does not constitute investment advice. Past performance is not indicative of future results.
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