Saturday, June 27, 2009

Returns for week ending 6/26/09

Model portfolio, hypothetical returns for past…
1 week: +1.6%

1 comment:

  1. Matt,

    Glad you've enjoyed following along. Your question is an important one. This is something I looked at closely as I was developing the system. After all, if the portfolio isn't generating alpha, then you would indeed be better off just taking the timing signals and buying a proxy for a broad index, or perhaps a leveraged ETF.

    I just posted (above) a history of model portfolio returns for each period where a timing signal was thrown. Where the timing signal is BUY or NEUTRAL, the portfolio is invested in stocks and is either in a market neutral stance, or net-50%-long.

    Pay special attention to the "excess returns" column, which shows the returns that can be attributed to alpha mostly as a result of stock selection.


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