Model: Utilities Live
The portfolio's goal is to track the Utilities Sector Select SPDR ETF (XLU) aiming to achieve higher Sharpe Ratio through active rebalancing.
The Utilities Live portfolio consists of up to 12 securities from the Russell 1000 that together minimize tracking error against the XLU. In addition, using Lucena's machine learning optimization engine (MVO combined with Lucena's Forecaster) we optimize every two weeks for maximum risk adjusted return (max Sharpe Ratio).
Rebalancing trades are executed every other Tuesday. In addition, there is a trailing stop loss per security based on 126/ATR * 3.50.
If the price drops by at least 3.5 times the average daily range as measured by the past 6 months.