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.

No comments: