Stock Portfolio 1-4
Stock Portfolio 1-4 fund universe is comprised of 50 tickers which are in the growth category of the russell 1000. These are the largest by market cap of that group, with all above a market cap of about $30bn. Many different sectors are represented and they all have a history of at least 10 years. The group is selected to provide high returns throughout the market cycle and a diversity of correlation values to allow protection in downturns. Our goal is providing a rotation strategy for better returns and smaller drawdowns than just buying all of them and holding them, or buying a ETF or mutual fund. There are two ETF funds in the universe- SHY which is a very stable treasury bond fund, and the SPY which tracks the S and P 500. Two instances of SHY are included. If the system ranks SHY the first, second, or third, 1/2 of all funds in the portfolio are rotated to the SHY. If SHY is ranked 4th then 1/4 of funds are allocated to SHY. This is intended to allow shifting away from stocks when market conditions require it such as during downturns, or at times it could be periods of extremely overbought stocks. Four stocks or funds are selected each month.
Rotation System Results vs the SPY. Hover mouse for details.
Risk Adjusted Return metrics- Stock/ETF Portfolio 1-4 with Rotation, Compared to SPY over the same period
MAR and Sharpe ratio Risk Adjusted Return. Our favorite Risk Adj. Return Metric is MAR= (CAGR/Drawdown), while Sharpe ratio is the more commonly found risk adjusted metric. Sharpe= (CAGR-risk free rate(3%))/volatility. The reason we prefer MAR is that it penalizes return based on drawdowns- No one wants big drawdowns, we might need to take money out during a drawdown or we might lose faith during a drawdown and sell. The Sharpe penalizes for volatility which is associated with risk. However the only "bad" volatility is negative volatility and typically negative and positive volatility are not separated. Higher returns = higher volatility, everything else being equal, and we do want higher returns, right?
See below for the ticker list.
Ticker List of funds in Stock Portfolio 1-4
If anything is blank, either it was not available from data source, or it does not apply (ie if no dividend, it will be blank)
| Ticker | Name | Share price | Div yld | PE Ratio | Price/Book | half yr perf % |
|---|---|---|---|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | 334.06 | 1.90 | NaN | NaN | 34.57 |
| AAPL | Apple Inc. | 112.00 | 0.72 | 34.51 | 27.09 | 82.88 |
| MSFT | Microsoft Corporation | 204.03 | 0.99 | 35.63 | 13.16 | 47.68 |
| AMZN | Amazon.com, Inc. | 3116.22 | NaN | 122.04 | 21.53 | 89.38 |
| GOOGL | Alphabet Inc. | 1515.76 | NaN | 34.51 | 5.02 | 37.29 |
| HD | The Home Depot, Inc. | 276.33 | 2.20 | 24.98 | NaN | 43.08 |
| CMCSA | Comcast Corporation | 44.67 | 2.09 | 17.65 | 2.41 | 25.99 |
| UNH | UnitedHealth Group Incorporated | 301.48 | 1.64 | 17.13 | 4.54 | 21.64 |
| PEP | PepsiCo, Inc. | 135.81 | 3.04 | 27.45 | 14.96 | 16.84 |
| MO | Altria Group, Inc. | 43.59 | 7.94 | NaN | 14.17 | 19.03 |
| KO | The Coca-Cola Company | 51.06 | 3.28 | 23.52 | 12.29 | 6.02 |
| MCD | McDonald's Corporation | 218.00 | 2.30 | 34.44 | NaN | 27.69 |
| VZ | Verizon Communications Inc. | 59.79 | 4.22 | 12.87 | 3.93 | 16.27 |
| MMM | 3M Company | 166.17 | 3.60 | 18.50 | 8.67 | 22.14 |
| IBM | International Business Machines Corporation | 121.46 | 5.41 | 13.44 | 5.22 | 17.26 |
| GILD | Gilead Sciences, Inc. | 65.58 | 4.27 | NaN | 4.44 | -7.01 |
| BA | The Boeing Company | 160.23 | NaN | NaN | NaN | 1.84 |
| HON | Honeywell International Inc. | 166.45 | 2.19 | 21.22 | 6.36 | 21.82 |
| SBUX | Starbucks Corporation | 85.27 | 1.93 | 76.68 | NaN | 36.68 |
| UPS | United Parcel Service, Inc. | 158.87 | 2.56 | 31.37 | 31.33 | 83.23 |
| CVS | CVS Health Corporation | 57.40 | 3.45 | 9.20 | 1.12 | 6.23 |
| TXN | Texas Instruments Incorporated | 136.37 | 2.62 | 25.73 | 16.45 | 40.66 |
| ACN | Accenture plc | 234.77 | 1.37 | 30.44 | 9.28 | 53.18 |
| NKE | NIKE, Inc. | 118.00 | 0.85 | 72.70 | 22.16 | 54.70 |
| LLY | Eli Lilly and Company | 148.09 | 2.02 | 23.79 | 32.42 | 16.03 |
| COST | Costco Wholesale Corporation | 339.13 | 0.82 | 40.13 | 8.94 | 21.33 |
| LOW | Lowe's Companies, Inc. | 161.89 | 1.52 | 21.03 | 27.35 | 76.08 |
| GE | General Electric Company | 5.95 | 0.67 | 15.75 | 1.56 | -17.01 |
| JNJ | Johnson & Johnson | 147.78 | 2.75 | 26.35 | 6.14 | 17.14 |
| ADBE | Adobe Inc. | 471.35 | NaN | 62.76 | 21.05 | 67.11 |
| FDX | FedEx Corporation | 232.79 | 1.16 | 45.84 | 3.20 | 131.38 |
| NFLX | Netflix, Inc. | 482.03 | NaN | 85.15 | 22.68 | 52.47 |
| NVDA | NVIDIA Corporation | 486.58 | 0.13 | 90.30 | 21.80 | 127.67 |
| CRM | salesforce.com, inc. | 243.10 | NaN | 635.38 | 5.83 | 76.26 |
| ADP | Automatic Data Processing, Inc. | 133.44 | 2.76 | 23.21 | 9.84 | 1.24 |
| NOC | Northrop Grumman Corporation | 338.88 | 1.76 | 23.20 | 5.67 | 13.60 |
| SYK | Stryker Corporation | 202.02 | 1.14 | 47.93 | 5.94 | 30.81 |
| ITW | Illinois Tool Works Inc. | 195.46 | 2.38 | 28.23 | 25.73 | 36.91 |
| GIS | General Mills, Inc. | 58.54 | 3.35 | 16.44 | 4.43 | 16.98 |
| KMB | Kimberly-Clark Corporation | 148.50 | 2.89 | 19.92 | 187.53 | 21.13 |
| BDX | Becton, Dickinson and Company | 235.78 | 1.35 | 82.46 | 2.75 | 6.17 |
| MMC | Marsh & McLennan Companies, Inc. | 115.78 | 1.61 | 29.22 | 7.11 | 24.31 |
| CTSH | Cognizant Technology Solutions Corporation | 68.18 | 1.34 | 22.16 | 3.23 | 33.85 |
| MCK | McKesson Corporation | 150.37 | 1.11 | 27.52 | 4.48 | 21.53 |
| KR | The Kroger Co. | 34.37 | 2.07 | 13.22 | 2.90 | 19.30 |
| SPGI | S&P Global Inc. | 348.79 | 0.78 | 32.47 | 395.95 | 55.55 |
| PFE | Pfizer Inc. | 36.07 | 4.26 | 14.51 | 3.08 | 18.75 |
| XOM | Exxon Mobil | 67.44 | 5.21 | NaN | 1.78 | 10.99 |
| SHY | iShares 1-3 Year Treasury Bond ETF | 86.49 | 1.73 | NaN | NaN | 0.35 |
| SHY | iShares 1-3 Year Treasury Bond ETF | 86.49 | 1.73 | NaN | NaN | 0.35 |
Buy All Funds and Hold scenario below- NOT ROTATION- to use to compare to rotation strategy. With rebalancing. This is not a list of funds that does significantly better than the SPY over a long period of time. Rather it tracks it fairly well.
Buy All Tickers- NOT Rotation- For Comparison
Rotation strategy shown below. This strategy ranks the top two tickers and only holds two tickers each month. If the top tickers are not held already at the first of the month, they are liquidated and top tickers are purchased. If one decides to follow this system, there is no question of when to buy or sell- its only at the first of each of month and only hold two tickers. The system assumes trades are done at the end of trading on the first trading day of each month. This is pretty standard for tracking results in the industry. Of course the user will not be able to both buy and sell at the last instant of the trading day. This is not a big deal in our opinion. The important thing is to know what the system assumes when tracking performance and we feel its best to minimize the time between selling and buying to stay invested. We like to use limit orders for both buys and sells to minimize the chance of getting on the wrong side of a spread that's too wide. Your broker can explain how to use limit orders. For performance tracking we use the actual closing prices, and not real world trades which allows us to automate and backtest.
Rotation Strategy- Buy Top Four Ranked Tickers Each Month
Yearly summary up to current year shown below. This is why we love active asset rotation vs. buy and hold.
Yearly Summary for Rotation System, now including YTD
| Year | 2007 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Rotation % Return | 6.49 | -9.65 | 8.98 | 36.94 | -4.56 | 18.13 | 67.32 | 4.78 | 17.73 | 19.89 | 24.03 | 12.65 | 25.85 | 65.93 | 30.83 | -0.75 | 56.82 | 24.44 |
| SPY % Return | 2.30 | -35.86 | 21.91 | 12.11 | 0.35 | 14.56 | 25.24 | 12.31 | -2.15 | 12.05 | 19.33 | -6.92 | 29.85 | 13.52 | 29.53 | -20.28 | 24.11 | 20.31 |
| Improvement | 4.19 | 26.21 | -12.94 | 24.83 | -4.92 | 3.58 | 42.08 | -7.52 | 19.88 | 7.85 | 4.71 | 19.56 | -4.01 | 52.41 | 1.29 | 19.53 | 32.70 | 4.13 |
By month history shown below. This plot gives the viewer a feel for month by month success and failure rates. No this is not a magic machine that turns a profit every month! Remember the "if it sounds too good to be true it probably is" phrase wise people have warned you about. We feel we have something really valuable here but be sure to read our disclaimers in terms of service. Many investment tip services will make claims of "we made XXX% on ticker ABC and XX% on ticker DEF" type of history but don't mention their losses. We try to get the whole story out there for a full review, before the user spends a dime.
Month by Month Summary
Statistical summary below. Have a look and see what you think. These numbers should speak for themselves. Compare to other options you may have.
Statistical Summary
| Investment | Total Ret | CAGR | Drawdown | MAR(CAGR/dd) | Sharpe(3%) | mnth > 0% | ave Mnth | Vol(Ann) |
|---|---|---|---|---|---|---|---|---|
| Rotation % | 2861.60 | 20.92 | -28.45 | 0.74 | 1.02 | 61.21 | 1.72 | 17.61 |
| SPY % | 301.38 | 8.10 | -54.24 | 0.15 | 0.29 | 64.49 | 0.78 | 17.59 |
We have more details in our members only page, such as each and every ticker buy and sell history with performance metrics along the way in a sortable table that's fun to explore. We of course have the new picks each month over there as well.
Below are the results since going live on Aug 1, 2014. Note that the algorithm is improved starting in November but this reflects the history through changes for those who would like to see that.