Dow Winners Adaptive Long Only portfolio consists of members of the Dow Industrials.
The Dow Jones Industrial Average, Dow Jones, or simply the Dow, is a stock market index that measures the stock performance of 30 large blue-chip companies listed on stock exchanges in the United States.
The portfolio's goal is to pick the most bullish stocks from within the Dow 30 members with the expectation that they will outperform the average (the Dow Index) in the coming month (or 21 trading days).
The intuition for the strategy is to rely on the strength of the US economy while exploiting opportunities for entry based on technical and fundamental factors which measure the point-in-time strength of individual constituents relative to their peers (or their average).
The portfolio is re-optimized monthly to achieve a maximum Sharpe Ratio in two ways:
Here is how the Model Portfolio is traded:
The portfolio scans daily for new constituents based on the latest AI model. As long as there is cash available and new positions are identified, the positions are equally allocated upon entry.
Positions are held conditionally as long they continue to satisfy the criteria which set them for entry.
The performance presented is net of transaction cost and slippage.
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