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Dow Jones - The Big 6
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Annual Performance
99*000102030405060708091011121314**
Model (%) N/A31-0-11691613222414118268
Benchmark (%) N/A-6-7-17253-1166-34191167265
Excess (%) N/A37716-9617-3-4355351-13
* Inception Date: 01/01/2000  ** End Date: 08/27/2014
% Max Drawdown / % Cash Invested
Risk Measurements Combined Trailing 3 Year
  Model Dow Jones   Model Dow Jones
Annualized Return 11.64% 2.76%   15.21% 14.06%
Max Drawdown -16.63% -53.78%   -9.16% -8.87%
Standard Deviation 13.05% 19.16%   11.77% 13.17%
Sharpe Ratio 0.60 -0.05   1.11 0.97
Sortino Ratio 0.86 -0.07   1.61 1.35
Correlation with Dow Jones 0.74 -   0.87 -
R-Squared 0.55 -   0.75 -
Beta 0.51 -   0.77 -
Alpha (annualized) 8.04% -   3.11% -
Designer hemmerling Subs 69
Launch 04/11/13 Cost FREE
Rebalance 08/25/14
Last viewed by Designer  Last 30 Days
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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Designer hemmerling Subs 69
Launch 04/11/13 Cost FREE
Rebalance 08/25/14
Last viewed by Designer  Last 30 Days
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 11.64% 2.76% 8.88%
Launch 13.35% 10.81% 2.54%
Alpha 8.04%
% Invested 50.61%
Rebalance Frequency Weekly
Last Rebalance Date 08/25/14
Days Since Launch 504
Holdings 3
Average Annual Yield 2.74%
Slippage Variable
Liquidity Stats GLOSSARY ?
Liquidity
(bottom 20%)
$177,222,960
Min Stock Price (at purchase) $15.44
Max Profit Contribution Single Stock 14.62%

Trading Stats
Trading Costs / Curr Mkt Value 0.76%
Average Days Held 452
Annualized Turnover 51.14%
Average Return 17.05%
Average Return Winners 27.16%
Average Return Losers -12.36%
Winners 74.42%
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