Correction: Please note that there are misleading differences in the 1 week returns. Due to an oversight by your editor in a recent adjustment to defining 1 week returns in the R code that generates results, this time horizon isn’t identical in all the data tables below. In some cases, “1 week” reflects trailing 5-day results vs. calendar-week results in other cases, which sometimes are 4 days due to holidays. As such, please ignore the 1-week results and related commentary for 1-week data. I’ll correct the mistake starting with the next issue. For the other time windows, the numbers are correct. Apologies for the confusion. And thank you to Dan, a reader, for pointing out this issue.
How can it be that G.B16.MVOL advances only 0.3 for the past week yet its benchmark (G.B16) goes up 1.4? This seems at odds since, if I understand it, only GCC is missing from G.B16.MVOL during this period.
I find the G.B16.MMD strategy, with its low volatility (6.9) and return (9.9) at 5 year interval, attractive when compared to its benchmark. Yet, the trigger to sell VTI at the week’s start, meant a substantial portion of the portfolio (25%) missed participating in VTI’s 1.9% advance. I appreciate it is foolish to gauge any strategy by a single week. Yet, strictly on an emotional level, this would be hard to stomach.
The ETF Portfolio Strategist: 22 Jan 2021
Mr. Picerno:
A question and a comment.
How can it be that G.B16.MVOL advances only 0.3 for the past week yet its benchmark (G.B16) goes up 1.4? This seems at odds since, if I understand it, only GCC is missing from G.B16.MVOL during this period.
I find the G.B16.MMD strategy, with its low volatility (6.9) and return (9.9) at 5 year interval, attractive when compared to its benchmark. Yet, the trigger to sell VTI at the week’s start, meant a substantial portion of the portfolio (25%) missed participating in VTI’s 1.9% advance. I appreciate it is foolish to gauge any strategy by a single week. Yet, strictly on an emotional level, this would be hard to stomach.
Thanks as always,
-Dan