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April 6, 2009
STEP Portfolio Review
US Model Portfolio
The US Model continues to outperform the S&P 500
over all relevant timeframes. Although it remains a
hollow victory of late, the portfolio’s 10.4%1Q09 decline
was 62 basis points ahead of the S&P. The
outperformance versus the S&P is 87 bps over the past
12 months, 238 bps/yr over the past three years, 324
bps/yr over the past five years, and 261 bps/yr since
formal inception on 12/29/95.
Although the Model’s consistent success versus
the S&P 500 may be somewhat akin to the record of
the Harlem Globetrotters, a 1.5% annual loss on an
absolute basis over the past five years has us
feeling an awful lot like the Washington Generals.
We clearly remain in the midst of an epic bear market
and see only 11% implied upside to the STEP team’s
875 year-end target for the S&P 500 from the 1Q09
closing level of 790. However, in a somewhat rare “glass
half full” departure from our customary cautious nature,
we devote a sizable part of this report to early signs of
stabilization (and even bona fide economic
improvement). From a portfolio perspective, it’s
noteworthy that the Model’s prospective beta has
recently increased to a seven-year high of 0.96.
What’s inside? We include a detailed summary of what
has worked well in the Model so far this year and what
has not. We review recent portfolio changes and
provide a detailed performance summary that includes a
recap of the top and bottom contributors. Finally, we
include one-page summaries of the rationale for each
holding, as well as our customary “at-a-glance” sheet
summarizing our views on each stock.
314853.pdf
(1004.28 KB, 需要: 500 个论坛币)
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