Stance Capital at a Glance:
Performance Update Q4 2020
Annualized returns
After a very strong Q3 and strong YtD performance, the Stance model underperformed in Q4, but still outperformed in 2020 overall.
Stance selection skill reverted towards the mean after a very strong Q3 where 38% of portfolio positions outperformed the S&P500 vs. 59% of stocks in the top 500 by market cap universe.** Despite the low total return hit rate, the portfolio had an annualized risk adjusted outperformance of over 2% in Q4***.
The five largest absolute contributors to portfolio total return** were HLT, IDXX, MSCI, GRMN and WAT, representing 32.8% of the total absolute performance.
Risk Management: The largest drawdown the portfolio suffered was 6.44% vs 7.43% for the SP500, this was done while having an intra quarter beta of 0.84. ***
**Using holding dates of 2020-10-01 / 2020-12-31
***These risk management numbers are calculated from daily returns generated by using a frictionless simulation of the Stance Strategy and represent gross numbers assuming the strategy was invested on 2020-10-01 and ending on 2020-12-31
Read more about Stance’s performance here.