Monday, July 4, 2011

Utility Dividend Capture Portfolio Achieves 8th Straight Quarter of Growth

The Utility Dividend Capture Portfolio just completed it 8th quarter of operation.
Detailed information on the objective, approach, and returns of this portfolio  can be found at

In summary, the objectives of this portfolio are
- absolute quarterly returns of 2+% in quarters when the stock market is up and 0% when the stock market is down.
- to be less volatile than the stock market.

This objective is to be accomplished via trading in and out of 15-20 utility stocks around their dividend x-date to capture about a 1% return from the dividend and relying on market inefficiency to be able to loose less than that amount via capital gains.

For the eigth quarter in a row this fund achieved its objective!!
  • The fund returned 5.5% in total this quarter
  • The return was comprised of 5.9% in dividends and a loss of .4% in capital gains
  • 18 trades were made.  15 of them were winning trades. An 83% win percentage.
  • daily standard deviation of the fund was .49, which was about 25% less than volatility of the XLU etf.
Over 8 quarters of operation, the fund has consistently met its objectives

  • Never had a loosing quarter!  This type of absolute return is the key goal of this portfolio.
  • Averaged 3.9% in  returns each quarter
  • Had 109 of 145 winning trades for over a 75% win rate.
  • Low daily volatility. A SD of .60% which is nearly 1/3 less volatile than the XLU etf.
  • Low quarterly volatility. A SD of 3.97% which is nearly 1/2 less volatile than the S&P.

This portfolio continues to meet and exceed expectations.  This begs the question "how long can this last". IMO the most likely thing to adversely impact the performance of this fund would be higher interest rates. As an extreme example if one-year risk free interest rates went to 4+%, the additional risk of this portfolio would not seem justified.  However, it seems like short-term interest rates will remain low for awhile, so CCI will continue pursuing this portfolio into its ninth quarter of operations.

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