Style Model
|
Small Value
|
||
Sector Model
|
XLU
|
1.41%
|
|
Large Portfolio
|
Date
|
Return
|
Days
|
ABX
|
4/11/2013
|
-21.89%
|
292
|
NEM
|
9/30/2013
|
-11.14%
|
120
|
ISRG
|
10/21/2013
|
8.77%
|
99
|
EW
|
10/28/2013
|
-13.99%
|
92
|
JOY
|
11/18/2013
|
-4.84%
|
71
|
OXY
|
11/27/2013
|
-8.92%
|
62
|
MUR
|
12/23/2013
|
-3.81%
|
36
|
SWM
|
12/31/2013
|
-9.52%
|
28
|
NKE
|
1/7/2014
|
-6.10%
|
21
|
BTI
|
1/15/2014
|
-0.81%
|
13
|
(Since 5/31/2011)
|
|||
S&P
|
Annualized
|
11.38%
|
|
Sector Model
|
Annualized
|
22.77%
|
|
Large Portfolio
|
Annualized
|
27.16%
|
Rotation: selling NKE; buying BBOX
This is the first rotation into the revised buying strategy
that combines elements of the sector and the style model.
The sector model aggressively selects between 9 sectors.
The style model aggressively selects between 9 styles.
The combination of the two should add the alpha of each to
the full model.
Time will tell.
Tim
End of day note: the negative gap between NKE (down) and BBOX (up) prevented the trade.
ReplyDeleteIsn't BBOX unusually thinly-traded in comparison to the stocks normally picked by the model? Shouldn't there be a minimum market cap and/or average trading volume threshold?
ReplyDeleteThe style model is calling for Small Value, hence the small cap target.
ReplyDeleteMakes sense, I was mostly concerned about market impact with BBOX
ReplyDeleteI gave a more complete explanation of what I'm doing in this morning's post.
ReplyDelete