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.
Update: Dan, turns out I had a coding difference in defining "weekly" returns. Long story short, I updated my code to reflect calendar week returns (even if there was a holiday, as there was on Jan 18. Unfortunately, I mistakenly made the change only for the benchmarks but not so for proprietary strategies. As a result, the proprietary strategies reflect the trailing 5-day return (starting Jan 14) vs. the calendar week return for the benchmarks (starting Jan 15). This accounts for the difference since there was a sizable decline in several risk markets on Jan 14, i.e., a lower price starting point for the benchmarks vs. the higher starting points for the strategies. Apologies, and Thank you for pointing out the discrepancy!
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
Dan, Yes, good point. Let me look into this and I'll report back. Thanks.
Update: Dan, turns out I had a coding difference in defining "weekly" returns. Long story short, I updated my code to reflect calendar week returns (even if there was a holiday, as there was on Jan 18. Unfortunately, I mistakenly made the change only for the benchmarks but not so for proprietary strategies. As a result, the proprietary strategies reflect the trailing 5-day return (starting Jan 14) vs. the calendar week return for the benchmarks (starting Jan 15). This accounts for the difference since there was a sizable decline in several risk markets on Jan 14, i.e., a lower price starting point for the benchmarks vs. the higher starting points for the strategies. Apologies, and Thank you for pointing out the discrepancy!