YpaFi Global Household Index
The YpaFi Global Household Index is a large capitalization, low volatility index based on a systematic ranking. It holds 20 S&P 500 stocks in equal weight: 10 in the Consumer Staples sector, 10 in the Healthcare sector. It is rebalanced every 4 weeks and dividends are reinvested in shares.
Global Household Index (red) compared to the S&P 500 index with dividends (blue).
The next table and chart compare the Global Household Index to SPY (SPDR S&P 500 ETF) and to an equal weight mix of XLP and XLV rebalanced every 4 weeks (Consumer Staples and Healthcare ETFs). The next paragraph gives more information on the strategy.
|1/1/1999-6/16/2014||Ann. Return||Volatility||Max Ddown||Sharpe||Sortino||Correlation/SPY|
|Global Household Ind.||19.85%||15.84%||27.00%||1||1.33||0.65|
Investing in predictable trends:
Our aim was to build a defensive index.
The Consumer Staples and Healthcare sectors are considered
defensive because they are more resistant in market
downturns. Utilities, and sometimes Materials, are also considered
sectors. In reality, they are much more volatile and dependent of
industrial production. That is why we have excluded them. Companies
selling products and services that are needed every day by a wide part
of the population are less sensitive to economic conditions. Moreover,
large companies of the S&P 500 index are global and provide
exposure to worldwide consumers. In the U.S.A. and other developed
countries, the baby-boomers generation is the highest purchasing power
and its needs in health/personal/household products and services will
still increase. In developing countries, a global middle class is
surging with new needs and new consumption habits. The population
structure makes this two trends reasonably predictable for the next
Most publications consider
fundamental factors the same way for all sectors. In
reality, fundamental factors
don’t have the same significance for all industries and all
business models. YpaFi Mini-Indexes rank the S&P 500
companies in each sector according to fundamental ratios that are statistically
the most relevant in this sector. These ratios are a quantitative view
on valuation, growth and financial strength. A maximum of 3 ratios are
taken into account for each sector. As a consequence, each company has
1 to 3 scores depending on its sector. Then, a weighted sum of these
scores is used to calculate a final score. Eventually, the 10 companies
of highest score in each sector are selected in equal weight to make
the sector Mini-Indexes. They are rebalanced every 4 weeks.
This methodology is reproducible, systematic, quantitative and simple. There is no complicated formula and a maximum of 3 basic ratios are needed for each sector. It is based exclusively on fundamental data. Price action is ignored and there is no market timing in the model. Mini-Indexes can be used to build systematic portfolios, or as a short-list of companies for in-depth analysis.
The YpaFi Global Household Index has
been designed as a tool for professionals, fund managers, family
offices, ETF sponsors. Our Newsletters are a better solution for individual investors.
More info: firstname.lastname@example.org
CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN
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