Outperformer ASX200

Equity Graph

Performance
  • Statistics
  • Live
  • Expected
  • Total Return
  • 89.4 %
  • -
  • Monthly Return
  • 1.8 %
  • 1.2 %
  • Monthly StdDev
  • 5.7 %
  • 10.3 %
  • Max DrawDown
  • -15.8 %
  • -
  • Sharpe Ratio
  • 1.06
  • 1.09
  • Categorical data
  • Investment Type
  • Long Term Fundamental
  • Asset Class
  • Equities
  • Trading Frequency
  • Monthly
  • Live Since
  • 2014-01-01


Details

Selective in its investments, this strategy is designed to be a long term method which has a good hedging component and can be managed with little effort. This is the version of Outperformer focused on the ASX200 Equities.

This strategy is suitable for long term investors with an investment horizon of 2+ years, and only requires one hour per month for re-allocation. The stock universe is restricted to ASX 200 with hedging in STW (SPDR S&P/ASX 200 ETF) or equivalent derivative, and is therefore suitable for private stock portfolios, self-managed super funds (SMSF) or IRAs.

Screening is done once a month after quarterly reporting, and part of the portfolio is then re-allocated. Stocks are generally held for a period of 12 months or more, unless they fail to meet the screening criteria successive periods.

Ranking model

The screening process is based on fundamental principles, and ranks well managed companies with a stable asset base and return on these assets. The objective is to identify candidates that have a high probability of exceeding the market return - either by generating higher returns, or responding less to the downside. Our ranking model has outperformed the ASX 200 index 9 out 10 years. Please see the research report for more details.

Portfolio model

Once suitable candidates have been identified, the portfolio model analyses risk and returns profiles for each individual stock. It then finds the optimal combination of stocks with respect to portfolio constraints such as covariance, diversification and market exposure. The model also considers transaction costs and other friction factors in order to increase long term profitability.

Hedging model

The stocks that pass the screening process are expected to outperform the ASX 200 index, and the portfolio model minimizes idiosyncratic risk. However the strategy can still show a negative return during economic recession and falling stock indices (systematic risk). To cope with this risk factor the portfolio will be partly or fully hedged with the ASX 200 index during stock market declines or periods when volatility are high.

A successful portfolio hedging strategy does two things: it protects against market declines, and it imposes minimal costs in rising markets. Our hedging model is based on a three factor model; volatility predictions, market direction prediction, and market sentiment. These three factors react differently to market declines and therefore will shift between no hedge, partial hedge and full hedge.

How it works

Currently this strategy is only available through an email subscription where you will be notified about new trades and re-allocations of your existing portfolio. Re-allocation occurs on the first Monday of every month, while hedging might occur as often as weekly (if recent market events make this necessary). The emails will tell you exactly what to buy and sell, as well as what percentage of your portfolio shall be allocated to each individual asset. // Click here to see a sample