QAS US Large Cap 30 Stock Selection Strategy Outperforming in 2018
QAS US Large Cap 30 with Safety model portfolio index is advancing in our Alpha Generation score-card in 2018. As of 05-15-18, the index is up +4.6% vs. +2.8% (S&P 500) 2018 YTD, 7-yr Rolling Excess Return (Bloomberg: Active Return) is 78%, and a 7-yr Annualized Return is +26.7% vs. 20.3% (S&P 500).
The key differentiating portfolio construction factor consists of a combination of three elements: ABSOLUTE MOMENTUM (analysis of a stock vs. other stocks) + RELATIVE MOMENTUM (analysis of a stock vs. benchmark) + SAFETY BASKET (portfolio reduces equity exposure by -30% during negative periods and creates exposure in safety ETFs – US Treasury, Gold).
TOP 10 HOLDINGS OF THE QAS US LARGE CAP 30 WITH SAFETY INDEX (As of 05-15-18):
- HES 3.58%
- OXY 3.51%
- XOM 3.50%
- QEP 3.49%
- THC 3.44%
- ORLY 3.41%
- NFLX 3.38%
- ZTS 3.38%
- INTC 3.37%
- MA 3.35%
For a complete list of 30 stocks in the index, please visit:
According to the Attribution Report’s sector breakdown, the “betting pattern” (selection & allocation pattern) of the quantitative algorithm has been mostly positive in the majority of sectors, especially for consumer discretionary, health care, energy and financials.
The index is rebalanced monthly based on a fully-automated quantitative stock selection methodology. On average, this index replaces only 3-5 stocks each month.
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© QAS 2018. Past performance may not be indicative of future results. Different types of investments involve varying degrees of risk, and there can be no assurance that the future performance of any specific investment, investment strategy, or product made reference to directly or indirectly in this article.