Playing Volatility: Making a 2020-Averse Portfolio

7 בספט׳ 2020

In this case we normalize the ratio between SPY and FDLO (one of the better-performing min-volatility etfs of the year) to the start of the year. We can clearly see a shift in favour of a min-volatility portfolio as of late.

Performing efficient frontier upon FDLO to narrow down our investments, we see that, for maximizing a Sharpe ratio at the current 3-month treasury bond yield, our best options are (in terms of TICKER, WEIGHT):
CI,0.20459
LIN,0.14878
CABO,0.01408
CTXS,0.01166
CLX,0.01038
AKAM,0.00986
DPZ,0.00929
DG,0.00923
ADBE,0.00918
INTU,0.00909
and so on.
stats: Expected annual return: 22.8%
Annual volatility: 10.9%
Sharpe Ratio: 1.90

Minimizing volatility as opposed to maximizing Sharpe gives us more tickers (of course, the portfolio was made to be volatility-averse in general... but not COVID-Recession-Averse).
For stats of
Expected annual return: 14.1%
Annual volatility: 8.5%
Sharpe Ratio: 1.42,

We see:
LIN,0.04622
EQC,0.04516
DPZ,0.03391
CLX,0.03318
VZ,0.03257
WMT,0.03243
CHRW,0.02722
CI,0.02714
CABO,0.02352
DOX,0.02221
CHKP,0.02112

And so on...