Russell 1000 High Yielders (PFC)

Holdings protected for Charter members only

Performance
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Model (%) 2031024228348-0173216153115-81015-98
Benchmark (%) -9-14-232894134-392514-1143011-11019-716
Excess (%) 291733-312321439-81817114-60-4-2-8

Risk Measurements Since Inception Trailing 3 Year
  Model Russell 1000 ($RUI)   Model Russell 1000 ($RUI)
Total Return 1,051.47% 108.24%   19.93% 32.56%
Annualized Return 13.25% 3.81%   6.24% 9.85%
Max Drawdown -14.89% -56.88%   -14.83% -20.09%
Standard Deviation 9.18% 14.80%   8.35% 12.38%
Sharpe Ratio 1.24 0.23   0.61 0.82
Sortino Ratio 1.72 0.30   0.73 1.03
Correlation with Russell 1000 ($RUI) 0.52 -   0.75 -
R-Squared 0.27 -   0.56 -
Beta 0.32 -   0.51 -
Alpha (annualized) 10.77% -   -0.08% -

This system focuses on the Russell 1000 U.S. large cap index and chooses solely from the top-tier yielding companies. There is an underlying theme of value and price strength with some market-timing (on the buy-side). The strategy will pare down holdings when price correlation is high - which occurs most frequently in bear markets when most stocks fall simultaneously. 

An optimum of 20 stocks are held and annual turnover is just over 200%. This portfolio holds a variety of sectors including financial stocks.

This is a higher liquidity portfolio for large-cap high-yield investors wanting downside protection without using a hedge.

Key Stats
Annualized Return (CAGR) 13.25%
Alpha 10.77%
Rebalance Frequency Every Week
Last Rebalance 08/12/19
% Cash Invested 84.83%

Trading Stats
Average Days Held 105
Average Annual Turnover 243.54 %
Average Return 1.49%
Average Return Winners 8.64%
Average Return Losers -5.48%
Winners 53.31%