The 20 stock low beta/low R-squared portfolio that I follow has been under performing SPY for the past several months (see first plot above). The portfolio has very good big picture forward looking Monte-Carlo simulation results. The second plot above shows the portfolio excluding three financial stocks. The wipeout in the financials has significantly hurt the portfolio.
Sunday, June 15, 2008
Low Beta/Low R-Squared Not Working
The 20 stock low beta/low R-squared portfolio that I follow has been under performing SPY for the past several months (see first plot above). The portfolio has very good big picture forward looking Monte-Carlo simulation results. The second plot above shows the portfolio excluding three financial stocks. The wipeout in the financials has significantly hurt the portfolio.
Subscribe to:
Post Comments (Atom)
No comments:
Post a Comment