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Dow Jones - The Big 6
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Annual Performance
99*000102030405060708091011121314**
Model (%) N/A31-0-1169161322241411826N/A
Benchmark (%) N/A-6-7-17253-1166-3419116726N/A
Excess (%) N/A37716-9617-3-4355351-1N/A
% Max Drawdown / % Cash Invested
Risk Measurements Combined Trailing 3 Year
  Model Dow Jones   Model Dow Jones
Annualized Return 11.67% 2.52%   13.85% 10.38%
Max Drawdown -16.63% -53.78%   -13.04% -16.82%
Standard Deviation 13.19% 19.36%   13.35% 15.15%
Sharpe Ratio 0.59 -0.07   0.87 0.54
Sortino Ratio 0.85 -0.09   1.22 0.70
Correlation with Dow Jones 0.74 -   0.89 -
R-Squared 0.55 -   0.80 -
Beta 0.51 -   0.79 -
Alpha (annualized) 8.17% -   5.09% -
Author hemmerling Subs 72
Launch 04/11/13 Cost FREE
Rebalance 04/14/14
The goal was to create a super liquid trading system based on the Dow Jones Industrial Average without using the common market-timing techniques. Another objective was to have low turnover. This system was acheived by mixing 2 ranking systems and two value factors. While this system attempts to hold an optimal 6 stocks, it may hold less if the deep value stocks with higher yields cannot meet the basic ranking system requirements.
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Author hemmerling Subs 72
Launch 04/11/13 Cost FREE
Rebalance 04/14/14
The goal was to create a super liquid trading system based on the Dow Jones Industrial Average without using the common market-timing techniques. Another objective was to have low turnover. This system was acheived by mixing 2 ranking systems and two value factors. While this system attempts to hold an optimal 6 stocks, it may hold less if the deep value stocks with higher yields cannot meet the basic ranking system requirements.
Key Stats GLOSSARY ?
Annualized Return Model Bench Excess
Combined 11.67% 2.52% 9.15%
Launch 14.44% 10.21% 4.23%
Alpha 8.17%
% Invested 61.79%
Rebalance Frequency Weekly
Last Rebalance Date 04/14/14
Days Since Launch 374
Holdings 4
Average Annual Yield 2.84%
Slippage Variable
Liquidity Stats GLOSSARY ?
Liquidity
(bottom 20%)
$177,222,960
Min Stock Price (at purchase) $15.44
Max Profit Contribution Single Stock 15.28%

Trading Stats
Trading Costs / Curr Mkt Value 0.78%
Average Days Held 430
Annualized Turnover 53.59%
Average Return 16.12%
Average Return Winners 26.22%
Average Return Losers -12.36%
Winners 73.81%
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