'MO' 'AMGN' 'BCR' 'BDX' 'CVS' 'CPB' 'ED' 'FDO'
'GIS' 'HRL' 'JNJ' 'K' 'KMB' 'LH' 'MKC' 'MCD'
'PEP' 'PG' 'RAI' 'SO' 'WEC'
Although I recommend a portfolio composition every week, it is desirable to maintain this composition for four weeks, and then rebalance with the new composition.
The turnover respect to previous composition is 10% (due to the portfolio growth in the last month and because we have added a new stock, ‘CPB’, to the portfolio composition).
Regarding the performance, over the last year (52 weeks), the strategy attained a volatility of 10% (versus 16% of the S&P 500). The weekly 95%-VaR was 2.4% (versus 4.2% of the S&P 500).
See this post for the details about the back-testing.
The last year annualized Sharpe ratio of the low vol strategy was 1.53 (after proportional transaction costs of 40 bps was discounted). On the other hand, the SR of the S&P 500 was 0.90 over the same period.
Finally, the correlation of the low vol strategy with the S&P 500 along the last 52 weeks was 84%.
Again, all these performance results are consistent over time.
I have omitted more details regarding the performance measures because they are roughly the same as those in the previous posts.
As a summary, the low vol portfolio dominates the market index, showing it attains consistently better risk-adjusted returns.
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