Russell 1000 High Yielders (PFC)

Holdings protected for Charter members only

Performance
0001020304050607080910111213141516171819
Model (%) 2031024228348-0173216153115-81015-915
Benchmark (%) -9-14-232894134-392514-1143011-11019-725
Excess (%) 291733-312321439-81817114-60-4-2-11

Risk Measurements Since Inception Trailing 3 Year
  Model Russell 1000 ($RUI)   Model Russell 1000 ($RUI)
Total Return 1,125.97% 125.98%   21.29% 38.32%
Annualized Return 13.38% 4.17%   6.65% 11.42%
Max Drawdown -14.89% -56.88%   -14.83% -20.09%
Standard Deviation 9.13% 14.71%   8.41% 12.36%
Sharpe Ratio 1.25 0.24   0.61 0.86
Sortino Ratio 1.74 0.31   0.74 1.07
Correlation with Russell 1000 ($RUI) 0.51 -   0.78 -
R-Squared 0.27 -   0.62 -
Beta 0.32 -   0.54 -
Alpha (annualized) 10.78% -   -0.52% -

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) 13.38%
Alpha 10.78%
Rebalance Frequency Every Week
Last Rebalance 12/09/19
% Cash Invested 99.94%

Trading Stats
Average Days Held 105
Average Annual Turnover 246.20 %
Average Return 1.45%
Average Return Winners 8.58%
Average Return Losers -5.43%
Winners 53.13%