Tuesday, February 5, 2008

Simple equity market neutral fund

Mr. Hui out at the HSUTM blog has an interesting post on a simple market neutral portfolio:
  1. Buy the top large cap Growth and Value equity funds, as ranked by Morningstar
  2. The funds must be no-load mutual funds, have assets of at least a billion dollars and expense ratios less than 1%
  3. Short the S&P 500 Spyder (SPY) against the portfolio
  4. Re-balance the dollar amounts allocated to the funds monthly and re-balance the fund components annually
For the period from December 1998 to Janaury 2008 the synthetic equity
market neutral portfolio showed a very respectable annualized return of
6.4% (after fees) and a Sharpe ratio of 0.9.

Technorati Tags: , ,

Powered by ScribeFire.

No comments: