This chart highlights one of the problems with the AAPL, IBM, WMT model...the average daily flux or % change...on many days it's actually greater than SPY. One of our basic market neutral goals is to reduce this flux in the event that economic or political developments cause the equity markets to tank quickly, or worst. It's happened in the past and there's no solid proof that market safeguards have been instituted to prevent the occurrence of future such "black swans". There's a price to pay for this safety net and its obviously net returns. It's easy to design these SPY busting models and things can go along well for extended periods of time. The problem is...when things so wrong they tend to go horribly wrong.
