Weekend run is still risk off
Quick post on a Sunday
1. The expected annual return to risk-off assets is 3.77%. That is not very much for risking your capital. This is based on a 4.80% riskfree rate of return and 8.57% return to US stocks (highly diversified holdings), or other risk assets with return parity.
There are 1,632 US listed stocks with market equity capitalization above $2 billion. The expected return of holding all of those stocks is 8.87%.
2. The best individual stocks picked by our model are lower risk, and the worst are the higher risk "MEME" or speculative stocks.
3. The best portfolio available has 32 stocks, followed by a 33 stock and a 41 stock portfolio.
There are stocks that are household names and others that are a little more edgy, with high dividends paid last year, or some risk behind their names. We have been seeing significant rotation in this list over the past 2 weeks.
-0.000053 ['AAWW', 'ACI', 'AFG', 'ALRM', 'ATVI', 'BMY', 'BSM', 'CLBK', 'CLX', 'EQC', 'FROG', 'GEN', 'GOOGL', 'ICL', 'IEP', 'JNJ', 'K', 'MCD', 'MRK', 'MSFT', 'PCAR', 'PEAK', 'PNM', 'QGEN', 'RBA', 'TGNA', 'TJX', 'TRI', 'TSEM', 'TXN', 'YUM', 'ZIM'] 32
There is only one negative BETA stock left in the run. It seems that all the fish are now swimming with the school. UHAL -1.270 U-Haul Holding Company . The negative beta of 1.27 means that U-Haul moved 127% of the movement of the S&P 500 Equity Index over the past year, but in the opposite direction.
The overall volatility of the market (variance of price changes) has not changed. It is elevated and flat, in a relative plateau for the past months. What will happen when the market settles down?
Good luck in the markets today.
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Full-time investment advisor and student of the financial markets.