'MO' 'AMGN' 'BCR' 'BDX' 'CVS' 'CPB' 'CLX' 'ED' 'EW'
'FDO' 'GIS' 'HRL' 'JNJ' 'K' 'KMB' 'MKC' 'MCD' 'PEP'
'PG' 'RAI' 'SO' 'WEC'
Although I recommend a portfolio composition every week, it is desirable to maintain this composition for several weeks (for instance a quarter year), and then rebalance with the new composition.
The portfolio composition is the same as that of previous quarter. For this reason, the turnover is only 4% (due to the portfolio growth).Regarding the performance, over the last year (52 weeks), the strategy attained a volatility of 10% (versus 17% of the S&P 500).
The weekly 95%-VaR was 2.4% (versus 4.2% of the S&P 500).
The last year annualized Sharpe ratio of the low-vol strategy was 1.77 (after proportional transaction costs of 40 bps were discounted). On the other hand, the SR of the S&P 500 was 0.75 over the same period.
The next graph shows the risk-return space for the two considered portfolios.
The red point represents the mean return and volatility of the low-vol portfolio over the past 52 weeks. On the other hand, the blue point represents the mean return and volatility of the S&P 500 index over the same 52 past weeks.
We can see the low-vol portfolio has a better mean return than that of the S&P 500, and also its volatility is better. In this case, we say the low-vol portfolio dominates the index.
I have computed the same risk-return space for every week over the last year, using the same 52-weeks historical method to estimate the mean returns and the volatilities. The low-vol portfolio attained a higher return (79% of the time) than that of the S&P 500. Moreover, the volatility of the low-vol portfolio was always less than that of the S&P 500.
As a summary, the low-volatility strategy dominates the market index most of the time, showing it attains consistently better risk-adjusted returns.