May was an excellent month, except if you were long mega caps. Stocks over $100b in market cap returned just +1.28%. I was smartly positioned in the $1-5b market cap quintile and netted a return of +4.54%. The overall market, encompassing more than 5,000 stocks, returned +2.3% for the month.
Here’s how the returns broke down via market cap.
$1-5b: +5.4%
$5-10b: +2.53%
$10-50b: +0.76%
$50-100b: +0.3%
Over $100b: +1.28%
Under $1b: +4.83%
My positions actually underperformed the overall quintile I was in — merely a case of bad luck. This rarely occurs. Overall and year to date, my quantitative portfolio is up a headache free +8.6% — this includes the hedging escapades I’ve been on via GLD and TLT.
For June, I’ll be positioning in almost all new stocks in the same market cap quintile, and both my GLD and TLT positions will be reduced to 5% and 0%, respectively.
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I always have trouble sloshing through the 2000 stocks in the Russell to find a pick.
TNA has been providing a good reliable rush this year for those of us to weak for stock picking.