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Fred Piard
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Author of Quantitative Investing (4.4 stars on Amazon). Designer of the Global Household Index and the systemic risk score MTS10 (click here to learn more). PhD in computer science, Software Engineer, Civil Engineer, 20+ years working in various sectors and countries. Investor focused on... More
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  • YpaFi Global Household Index: Investing In Demography 0 comments
    Jun 23, 2014 3:31 PM | about stocks: XLV, XLP, SPY

    The YpaFi Global Household Index holds 20 S&P 500 stocks from the Consumer Staples and Healthcare sectors, based on a systematic ranking. The next table compares the Global Household Index to SPY and to an equal weight mix of XLP and XLV rebalanced every 4 weeks.

    1/1/1999-6/16/2014

    Ann. Return

    Volatility

    Sharpe ratio

    Correlation/SPY

    SPY

    4.83%

    20.20%

    0.04

    1

    XLP+XLV

    6.52%

    16.45%

    0.15

    0.48

    Global Household Index

    19.85%

    15.84%

    1

    0.65

    Consumer Staples and Healthcare companies are less sensitive to economic conditions because they sell products and services needed every day by households. In developed countries, the baby-boomers have increasing needs in health/personal care products and services, and are at the top of their purchasing power for other daily consumption products. In developing countries, a global middle class is surging with increasing needs in the same kind of products and services. Demography makes this two trends predictable for the next two decades. S&P 500 companies are ranked in each sector according to 3 fundamental ratios that are relevant in this sector. A score is calculated, then the 10 companies of highest score in each sector are selected in equal weight. They are rebalanced every 4 weeks. This methodology is based exclusively on fundamental factors. This is a summary of a post on Ypafi.com: read the full version here.

    Disclosure: The author has no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

    Stocks: XLV, XLP, SPY
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