The month of June marked our first monthly underperformance relative to the S&P500 since inception. Our Valuehuntr Portfolio was down nearly 3% for June vs. 0.02% gain for the S&P500. Five out of the eight stocks in our portfolio were down for the month. Overall, all investments have been profitable with the exception of FACT.
Since inception, the Valuehuntr Portfolio has returned 192% vs. 25% for the S&P500. Since March, additions to the portfolio have become less frequent. This is mostly because bargains have become increasingly harder to find as the market has recovered from its March lows.
Using our CAVM model, we estimate that our portfolio has an expected annual return of 18%, a sharp contrast with the 43% expected returns we estimated back in March. The chart below shows that on average, the possibl payoff for the equities in the portfolio are of asymmetric nature. Namely, we can expect our portfolio to grow at a rate of at least double the US GDP growth, even when the probability of loss is 90%. For more information on our CAVM model, see here.
3 responses so far ↓
widemoat // July 3, 2009 at 1:38 am |
Maybe you mentioned this elsewhere… are all positions equal size?
Daniel M. Ryan // July 5, 2009 at 10:18 pm |
If you’re interested, I’ve been running a Marketocracy mock fund solely based upon the Dogs of the Dow. After the initial ten purchases, zero turnover: it’s just been collecting the dividends. The thing has underperformed all major averages, including the Dow itself, over the month of June.
My guess is that it’s a bad time for large-cap value, and possibly for other value approaches. Storm season, in other words.
By the way: Marketocracy’s M100 has been underperforming the three major averages too in the same timeframe. It’s that kind of a market right now.
Investment Articles - July 3, 2009 | Old School Value // August 28, 2009 at 2:32 am |
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