We evaluate the performance of 10 large – cap companies in the Real Estate sector. Here is the list of stocks for Real estate sector: VIC, VHM, VRE, NVL, BCM, KDH, SDI, PDR, NLG, and VPI.
This strategy based on the idea that if business model is similar, performance of stocks will be similar as well. So we can say this strategy is based on mean-reverting process. We pick 2 worst performing stocks in the sector and hold it for 1 month. This strategy generated 154.5 percent of profit while the benchmark return is 70 percent. Average excess return is about 20 percent a year. Information ratio of strategy was above 0.8. The strategy is quite efficient. It is also noticeable that this strategy is outstanding in the year 2017, during which the sector was witnessing a vivid growth.