Defensive Utilities (PFC)

Holdings protected for Charter members only

Performance
07080910111213141516171819
Model (%) 763416177818-21123-524
Benchmark (%) 2-382313-0133011-11019-625
Excess (%) 54410417-6-226-1142-1

Risk Measurements Since Inception Trailing 3 Year
  Model S&P 500 ($SP500)   Model S&P 500 ($SP500)
Total Return 346.53% 117.27%   49.88% 39.04%
Annualized Return 12.91% 6.50%   14.44% 11.61%
Max Drawdown -12.56% -56.78%   -9.29% -19.78%
Standard Deviation 10.17% 14.90%   10.73% 12.23%
Sharpe Ratio 1.17 0.44   1.05 0.88
Sortino Ratio 1.62 0.57   1.53 1.09
Correlation with S&P 500 ($SP500) 0.51 -   0.49 -
R-Squared 0.26 -   0.24 -
Beta 0.35 -   0.43 -
Alpha (annualized) 10.07% -   6.87% -

Utilities are known for the defensive earnings regardless of market cycle. But simply holding utility companies and collecting a 4 - 5% yield is not your best strategy. What about preservation of cash when utility share prices fall in bear markets if fundamentals are eroded for some reason? Wouldn't it be better if a portfolio knew how to progressively sell off holdings when specific firms were weakening fundamentally? As well, certain utilities do better in bull markets and others hold up better in bear markets. In addition to income, capital growth should also be a major factor. This defensive utilities portfolio controls for all of the above.

Key Stats
Annualized Return (CAGR) 12.91%
Alpha 10.07%
Rebalance Frequency Every Week
Last Rebalance 12/09/19
% Cash Invested 51.14%

Trading Stats
Average Days Held 104
Average Annual Turnover 242.40 %
Average Return 2.41%
Average Return Winners 9.13%
Average Return Losers -5.72%
Winners 57.62%