CF18-01
The Conservative Formula in US equities
A review of Van Vliet and Blitz’s Conservative Formula. We reconstruct 98 quarterly portfolios of 100 stocks and compare our adaptation with SPY and the series published by Robeco.
The archive / Articles
Research open to scrutiny.
Two studies, their findings and the decisions behind each curve.
MCAP-01
Does concentrating on the largest S&P 500 companies pay off?
Buying the largest companies by market capitalization each year seems like a simple rule. We study what changes as the portfolio becomes more concentrated, how it behaves during crises and how much depends on the chosen period.