Blog Archives
BCI July 2, 2015
Posted in pmp BCI
Minimum Volatility Stocks: Does Frequent Trading Result in Better Returns?
- Two trading models are compared which select periodically 8 large-cap minimum volatility stocks from the Health Care, Consumer Staples, and Utilities sectors of the S&P 500.
- The models only differ from each other with regard to hedging, and sell rules which extend stock holding periods for one model to longer than one year.
- Backtests over a 15.5 year period show similar average annualized returns of about 36% for both models, but the number of realized trades differ, 148 versus 618.
- The analysis shows that in this case, and perhaps in general, frequently trading minimum volatility stocks does not necessarily produce better returns than for one year minimum holding periods.
No Recession Is Signaled By iM’s Business Cycle Index: Update June 25, 2015
Knowing when the U.S. Economy is heading for recession is paramount for successful investment decisions. Our weekly Business Cycle Index (BCI) would have provided early reliably warnings for the past seven recessions.
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Minimum Volatility Stocks: 1 year Out-Of-Sample Performance of iM’s Best12(USMV) Models
- Portfolios of the 12 top ranked stocks of the iShares MSCI USA Minimum Volatility ETF provided much higher 1-year returns than the ETF.
- For the period 6/30/14 to 6/18/15, our Best12(USMV)Q3-Investor, a 1-year buy&hold portfolio, returned 26.0%,
- The Best12(USMV)-Trader, re-balanced every 2 weeks, returned 29.3%,
- iShares MSCI USA Minimum Volatility ETF USMV returned 13.3% for the same period..
With reference to Section 202(a)(11)(D) of the Investment Advisers Act:
We are Engineers and not Investment Advisers,
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