RocketCap Smart Grid Stock Index© Update 5-22-09

Posted on May 24th, 2009 by admin in Smart Grid

We have updated our RocketCap Smart Grid Stock Index©. We plan to update weekly, based on data ending on Fridays. The results for 5-22-09 are shown in Figure 1. Figure 1 shows RSGSI compared to PUI and ^GSPC. It’s important to note that the values for the three indexes are annualized. These graphs show the returns based on each index’s reference price on 3-13-09, when we launched the RSGSI©.  Thus, if one index had an absolute return of 1% in 2 weeks after launch, then the implied annualized return is 26%.

This week, the indexes are coming down to earth after stunning returns soon after launch. Recall that the stock market hit a major low point on 3-9-09, so it is not too surprising that returns since then have been huge. Now RSGSI is 78%, 51 days since launch.

Figure 1: Annualized Returns for Smart Grid and Comparisons

Annualized Returns for RSGSI, PUI and ^GSPC

Annualized Returns for RSGSI, PUI and ^GSPC (51 days continuing returns)

Figure 2 shows the correlation matrix for the stocks in RSGSI©. For this matrix, we always use the fixed 45 day trailing prices to compute the cross-correlations. This week, the overall portfolio of RSGSI© members had an annualized return of 103% and standard deviation of returns of 35%. There are 16 cross-correlations within +/- 0.05,  and there are 210 possible pairs of different cross-correlations, so the Portfolio Diversification X-Ray is 16/210=7.6%.

Figure 2: RSGSI Correlation Matrix

RSGSI Portfolio Correlation Matrix: 45 Days Ending 5-22-09

RSGSI Portfolio Correlation Matrix: 45 Days Ending 5-22-09

Keep in mind, RSGSI© is compared to both the overall large capitalization market (S&P 500) and a portfolio of electric stocks (PUI).

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