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author Olivier Dambrine - June 8, 2015

In May the European markets put down a very solid performance. The STOXX600 YTD return increased from 15,5% to 16,7%. Our portfolio did much better and YTD return increased from 20,8% to 28,8%. Alpha is now 12,1%, a significant outperformance. In the US, the S&P YTD return increased from 1,3% to 2,4% while our portfolio declined from 5,3% to 3,9%. Our model still doesn’t work as well in the US as in Europe, but we still have alpha of 1,5.