Kevin M. Wilson, ChFC , PhD President/CEO/CIO
description
Transcript of Kevin M. Wilson, ChFC , PhD President/CEO/CIO
![Page 1: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/1.jpg)
Kevin M. Wilson, ChFC, PhDPresident/CEO/CIO
1405 Medical Arts Building324 W. Superior StreetDuluth, MN 55802
Office: 218-464-4399 Toll Free: 877-327-5062
Fax: 218-464-4397Email: [email protected]
www.bluewatercapitaladvisors.com
Monthly Market Review
“Back-Testing the Performance of Stocks & MarketsYields Opportunities”
(An Evaluation of What Has Worked)
May 16, 2013
11
Ted A. Pavlovich, WMSVP Wealth Management
Dheenu Sivalingam, MBAAVP/CCO/Senior Analyst
![Page 2: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/2.jpg)
INTRODUCTION
TED A. PAVLOVICH
2
![Page 3: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/3.jpg)
3
Caveats & Disclaimers
1. Back testing involves hypothetical results and does notrepresent actual results
2. Past performance is no indication of future returns.3. Models by their very nature are over-simplified.4. Limitations to the model results have been imposed by
the lack of appropriate benchmark securities for some periods, the arbitrary 10-year limit to available models, and the necessarily over-simplified natureof the models. Investors should view all results as tentative and use caution in interpreting these results.
5. Tail risks are nearly impossible to model, but can have a major but unpredictable impact.
![Page 4: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/4.jpg)
PUBLISHED WORK ON WHAT HAS WORKED
TED A. PAVLOVICH4
![Page 5: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/5.jpg)
Source: Novy-Marx, 2013
Back Testing Indicates ThatHigh Performance Has Been Associated With Using Certain Fundamentals To Select Stocks
Quality = low debt/high assetsrelative to earnings
Value = low price relative to earnings or net worth
5
![Page 6: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/6.jpg)
6
Stocks With Cheap Valuations Outperform; High Fliers Underperform Over Time
![Page 7: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/7.jpg)
7
Sell in May and Go Away Has Worked Over Time
![Page 8: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/8.jpg)
8
Empirical Back Testing Of Bear Market Signals Appears To Have Worked (With A Lag)
Source: Hussman
OVBBYR Syndrome
1. Over-Valued2. Over-Bought3. Over-Bullish4. Yields Rising
-32%
-48%
-49%
-58%
-20%
?
![Page 9: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/9.jpg)
9
Historical Valuation Data Can Also(On Their Own) Pinpoint Market Tops
![Page 10: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/10.jpg)
OUR BACK-TESTED TECHNICAL MODELS
DHEENU V. SIVALINGAM10
![Page 11: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/11.jpg)
Simple 12-26 Moving Average Test – Catching Wave Shifts
Assume:Either 100% CashOr 100% Stocks
Assume: Partial Allocations(NOT Full PortfolioAllocations)
11
![Page 12: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/12.jpg)
Simple 12-26 Moving Average Test (Assumes Model Followed Without Deviation)
12
![Page 13: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/13.jpg)
Buy Sell Return Weeks In Trade
6-Jul-01 24-Aug-01 -0.03% 7
4-Jan-02 12-Apr-02 -5.00% 14
27-Dec-02 28-Feb-03 -2.84% 9
16-May-03 4-Jun-04 20.98% 55
29-Oct-04 6-May-05 4.65% 27
8-Jul-05 7-Jul-06 6.25% 52
15-Sep-06 14-Sep-07 14.40% 52
2-Nov-07 4-Jan-08 -6.05% 9
6-Jun-08 25-Jul-08 -7.46% 7
29-May-09 2-Jul-10 13.20% 57
8-Oct-10 29-Jul-11 12.60% 42
23-Dec-11 29-Jun-12 8.71% 27
24-Aug-12 10-May-13 17.44% 37
Simple 12-26 Moving Average Test
13
![Page 14: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/14.jpg)
Method: Long, Entry at $147.87, on 01/07/13: Profit Status: Profit, $19.41 per share or 13.12%
14
![Page 15: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/15.jpg)
Turtle System: (PPS,MACD,Volume,Accum/Distru)
Current Trade: Long @ $148.75 on 01/14/13 Current Profit: 12.46% (MKT @ $167.28)Stop Loss: @ $141.23 (5.05%) Exit: $152.31 (2.39%)
15
![Page 16: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/16.jpg)
OUR BACK-TESTED FUNDAMENTAL MODELS
16
KEVIN M. WILSON
![Page 17: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/17.jpg)
17
BWCA Bloomberg Back Test #1: Q + V (All Cap)
![Page 18: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/18.jpg)
BWCA Bloomberg Back Test #2: Q + V (Cap. > $2.0 Billion)
18
![Page 19: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/19.jpg)
OUR BACK-TESTED ALLOCATION MODELS
19
KEVIN M. WILSON
![Page 20: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/20.jpg)
20
GMO’s Econometric Models for Expected Return Have Been Very Useful Over Long Term
S & P 500
![Page 21: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/21.jpg)
BWCA Growth Portfolio BT: Down Capture in Meltdown Scenario
Benchmark: SPY
Composition:Stocks: 45%Bonds: 40%Cash: 15%
Max. Draw:BWCA: -15%SPY: -55%
07/02/0702/12/10Top: TRBottom: Volatility
21
![Page 22: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/22.jpg)
22
BWCA Growth Portfolio BT: Up Capture – Full Cycle
Benchmark: SPY
Composition:Stocks: 65%Bonds: 30%Cash: 5%
Max. Draw:BWCA: -29%SPY: -55%
07/02/0705/13/13Top: TRBottom: Volatility
![Page 23: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/23.jpg)
23
BWCA Moderate Portfolio Back Test: Down Capture in Meltdown Scenario
Benchmark: VIG
Composition:Stocks: 35%Bonds: 50%Cash: 15%
Max. Draw:BWCA: -13%VIG: -47%
07/02/0702/12/10Top: TRBottom: Volatility
![Page 24: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/24.jpg)
24
BWCA Moderate Portfolio Back Test: Up Capture in a Bull Rally
Benchmark: VIG
Composition:Stocks: 75%Bonds: 14%Cash: 11%
Max. Draw:BWCA: -13%VIG: -17%
03/09/0905/13/13Top: TRBottom: Volatility
![Page 25: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/25.jpg)
25
BWCA Moderate Portfolio Back Test: Up Capture – Full Cycle
Benchmark: VIG
Composition:Stocks: 45%Bonds: 40%Cash: 15%
Max. Draw:BWCA: -18%VIG: -47%
07/02/0705/13/13Top: TRBottom: Volatility
![Page 26: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/26.jpg)
26
BWCA Conservative Portfolio BT: Down Capture in Meltdown Scenario
Benchmark: AOK
Composition:Stocks: 20%Bonds: 70%Cash: 10%
Max. Draw:BWCA: -8%AOK: -11%
11/10/0802/12/10Top: TRBottom: Volatility
![Page 27: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/27.jpg)
27
BWCA Conservative Portfolio BT: Up Capture – Full Cycle
Benchmark: AOK
Composition:Stocks: 28%Bonds: 60%Cash: 12%
Max. Draw:BWCA: -10%AOK: -11%
11/10/0805/13/13Top: TRBottom: Volatility
![Page 28: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/28.jpg)
BWCA Conservative Portfolio BT: Up Capture – Bull Rally
Benchmark: AOK
Composition:Stocks: 50%Bonds: 42%Cash: 8%
Max. Draw:BWCA: -9%AOK: -4%
03/09/0905/13/13Top: TRBottom: Volatility
![Page 29: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/29.jpg)
SUMMARY/Q & A
29
KEVIN M. WILSON
1) Back testing has been useful in determining allocation strategies2) Back testing has moved our fundamental stock selection to a new level3) Back testing has allowed our technical analysis of market trends to greatly improve4) Opportunities going forward involve improved stock selection, longer holding periods,
less trading, better long term portfolio allocations, and reduced risk of loss
![Page 30: Kevin M. Wilson, ChFC , PhD President/CEO/CIO](https://reader035.fdocument.pub/reader035/viewer/2022062315/56816693550346895dda741c/html5/thumbnails/30.jpg)
This report is provided for informational purposes only and does not constitute an offer or solicitation to purchase or sell any security or commodity and is not intended to provide specific advice or recommendations for any individual. To determine which investment(s) may be appropriate for you, consult your financial advisor prior to investing. Any opinions expressed herein are subject to change at any time without notice. Information has been obtained from sources believed to be reliable, for its accuracy and interpretation are not guaranteed.
Investing in securities involves risk, including possible loss of principal. Past performance should not be taken as an indication of guarantee of future performance and no representation, express or implied, is made regarding future performance.
The firm does not provide tax advice; clients should contact their attorney, accountant, or other tax adviser regarding tax matters.
“BWCA is a state registered investment adviser in all states in which it is required to be registered. All Blue Water Capital Advisors’ customer assets are held in the customer name with Fidelity Institutional Services, clearing through National Financial Services (NFS), Member SIPC, a Fidelity Investments Company as Qualified Custodian.”
Disclaimer
3030