Optimized Greenfield SR Trades for Jan 4

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I continue to work on filling the portfolio with trades.  76% of the portfolio is obligated, with the following positions and sizing presently being held:

Click on the image to enlarge.

A number of orders did not fill because they did not take out the previous day's high plus 0.1%, so the new batch of orders for Thursday, January 4th, are as follows:

Click on the image to enlarge.

As you can see, these are set to trigger at 9:40 a.m.  The list is different than previous days because the stocks that are in the possible universe versus the ones being held change the composition of the efficient frontier and hence the target optimized portfolio.  For me this is the beauty of this approach -- there is no "perfect" answer and it allows me to adapt to market conditions on the entry and exits.

The new target efficient frontier space is in the following picture.  The present holdings are shown by the yellow diamond and the target portfolio is shown at the intersection of the red line and the blue efficient frontier line:

The way to interpret this is that the present holdings, over the last 100-days or so (due to the EWMA applied to prices), have produced a gain of just over 15% annualized and a volatility of 7.3%.  While underperforming the S&P 500 by a few points the income on the portfolio, if held in 2017, is about $2,600, outperforming a somewhat arbitrary but representative low-risk, higher-income benchmark income portfolio:

In the figure above Portfolio 1 is the Greenfield Optimized Sharpe Ratio portfolio, fully invested, and Portfolio 2 is the comparison income portfolio shown in the next figure, which produced 2.267% income in 2017.

Undoubtedly, someone will ask me as to the current construction of the target portfolio, here it is:

The yellow indicates already purchased positions and the light-green area (or non-yellow) indicates the pending orders for today.

Note that I'm very close at achieving the target numbers:

The target is the "T" and you can see that my present holdings are demonstrating a 15% return/7.3% volatility, for a SR of 1.88 vs. the target of 1.94.  This shows that filling the largest % numbers first gets you quickly to the ballpark of the portfolio, and even with only being 76% invested, the demonstrated performance on the invested portion is rapidly approaching "optimum".

For the entire portfolio to perform as desired I obviously have to get to 100% invested, and today's purchase will get me closer to that mark by another 18% if they all fill.

If they don't all fill, it will be rinse, repeat until they do.

I hope all of this is useful to you to understand what I'm doing, at least at a high level.  I'm excited at the prospect of generating 2.6% income (or more, depending upon 2018 dividend increases), having capital appreciation due to these being quality stocks, and doing it all at a low volatility.

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As with all my ramblings, you are responsible for your own investment decisions and I am not.  Please do your own diligence, and please take ownership for your actions.

Regards,

pgd