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Fred Piard
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Author of 'The Lazy Fundamental Analyst' and 'Quantitative Investing' (5 stars at Amazon). Newsletter editor: a Growth Portfolio and a Market Neutral Portfolio, likely the only IRA-compatible market neutral newsletter and my core investment. PhD in computer science, civil engineer, software... More
My company:
Ypa Finance
My blog:
Ypafi Global Household Index
My book:
2 Books With Real Alpha Inside
  • 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.

    Themes: Healthcare, Consumer Staples Stocks: XLV, XLP, SPY
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