posted Mar 8, 2013, 1:41 PM by paul dunn
updated Mar 8, 2013, 7:31 PM
February 2013 highlights:
Definitions and details
- "Large" is strong - 5 of the top 10 fund categories this month are large: foreign large value, foreign large blend, large value, large blend, and large growth.
- Blended funds - 4 of the top 10 fund categories are blended funds: foreign large blend, small blend, mid-cap blend, and large blend.
- Foreign is also strong - This months top 3 categories are all foreign: foreign large value, foreign large blend, and diversified emerging markets.
Strength - Our model will allocate higher percentages of a portfolio to funds that are providing higher volatility adjusted returns. A "strength" of 100% means that in all portfolios where a fund category is given an allocation, it is given the maximum available allocation. Lower percentages indicate less average allocation.
Confidence - A "confidence" of 100% means that every fund of a given category, in every portfolio, received some allocation. Lower percentages indicate less frequent allocation across the portfolios.
So higher strength means that when we allocate a fund category, we are giving it more average allocation, while higher confidence means that a fund category is being given some allocation in a higher percentage of all available funds of that category.
Our model will reduce allocations to zero during bear markets. Thus a positive strength indicates we are allocating (buying) a given fund category.
Thanks for reading!