| Mid Value | Small Value | Large Value | Mid Blend | Small Growth | Large Blend | Large Growth | Small Blend | Mid Growth | |
| Utilities | 1 | 4 | 8 | 16 | 17 | 33 | 34 | 36 | 68 |
| Finance | 2 | 6 | 11 | 20 | 25 | 40 | 41 | 42 | 74 |
| Materials | 3 | 7 | 12 | 24 | 27 | 43 | 44 | 49 | 75 |
| Staples | 5 | 9 | 14 | 26 | 28 | 46 | 47 | 50 | 76 |
| Technology | 10 | 15 | 22 | 35 | 39 | 54 | 57 | 59 | 77 |
| Industrial | 13 | 21 | 31 | 48 | 51 | 61 | 62 | 63 | 78 |
| Energy | 18 | 29 | 37 | 52 | 55 | 64 | 66 | 69 | 79 |
| Healthcare | 19 | 30 | 38 | 53 | 56 | 65 | 67 | 70 | 80 |
| Cyclicals | 23 | 32 | 45 | 58 | 60 | 71 | 72 | 73 | 81 |
Thursday, April 10, 2014
04/10/2014 Value Holds the Lead
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Tim, I'm sure you mentioned this before, but as a reminder - are the rankings in the matrix represent backward looking recent performance or forward looking predicted performance or something else altogether?
ReplyDeleteForward looking. Mid Value Utilities have the best scores on my model's metrics. If you pulled up a Morningstar screener and selected for Mid Value and Utilities and threw a dart at the list you'd likely outperform the market for the next month.
ReplyDeleteThe original version of the Full Model only selected by industry (similar to the Sector Model). The newest update sorts by both Industry and Style. The last three selections made by the Full Model used this combination, and on aggregate they are doing better so far than I've historically experienced with previous trades. Of course, that's a small sample -- but that sample set will grow over time.
Is it reasonable then to expect the full industry/style-based model to outperform the sector model (which is only industry-based), even tho the underlying predictive algorithm is different?
ReplyDeleteThat's the plan.
ReplyDeleteOn trailing 1-month chart XLE beats XLU, but on 3-month chart XLU is still on top. How does XLE look relative to XLU going forward?
ReplyDeleteDon't know. Energy is on the momentum side of the model, and I only trade for mean reversion.
ReplyDeleteThe turtle and the hare... clearly the former is winning this year.
ReplyDelete... but of course CNBC had to praise XLU performance year-to-date to put the breaks on this vehicle today ;)
ReplyDeleteYeah -- I noticed this morning before work that XLU was getting into the news. By then it's usually too late.
ReplyDeleteI didn't note it here because I was away on vacation, but the model had a one day whipsaw into XLB on Tuesday and picked up some extra returns on both sides of the switch. I had someone handling the model for me, but not the blog. End of day data wouldn't have helped, though. The trades had to be made intraday to work out both times.