Results for a US equity portfolio with the most stable volatility clusters
An investment in stocks with the most stable Cluster will not necessarily yield the highest return, but significantly reduces the negative volatility in long-term downturns, such as in 2002 or 2008. A «Best-Cluster» approach to stock selection provides a robust and stable portfolio, which is shown below for US equities.
The Portfolio model was calculated with adjusted closing prices, i.e. dividends are continuously reinvested. At the beginning of a week, the 10 stocks with positive VCM-Momentum are reviewed and held as long as the momentum does not decrease. With decreasing momentum, a stock is exchanged. Transaction costs of 30 Bp per side are included.
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Note: with percentage representation, the longer the selected period, the more exaggerated the current results are displayed. The actual, visually correct scaling for long periods is only useful via the "Value comparison".
Past performance is no guarantee of future results