Fundamental is a moderately low-beta, moderately low-turnover trading plan for stocks traded on major U.S. exchanges. It focuses on providing above-market returns over the longer term while keeping a variability of returns that is similar to the market’s risk profile.

Information is as of the close on December 7, 2007.

Model Allocation

Based on beginning with a $100,000 portfolio at inception, these are the current weights and holdings. The initial target was a buy of 5% weights per position. See my previous post on this system. Sort is alpha order by ticker and weights are rounded to the tenth of a percent.

Affiliated Mgrs Grp (AMG) - 4.9%
Abercrombie & Fitch (ANF) - 5.2%
Amphenol Cp (APH) - 5.2%
Cpfl Energia Sa Ads (CPL) - 4.7%
Diamond Offshore Drl (DO) - 5.2%
Garmin Ltd. (GRMN) - 5.9%
Gymboree Corporation (GYMB) - 4.5%
Infosys Technologies Limited (INFY) - 5.0%
Jones Lang LaSalle (JLL) - 4.6%
Kinetic Concepts Inc (KCI) - 4.3%
Mobile Telsys Ojsc (MBT) - 4.8%
Mcdermott Int Panama (MDR) - 4.6%
Microsoft Corporation (MSFT) - 4.8%
Mechel Oao Ads (MTL) - 5.4%
Nvidia Corporation (NVDA) - 4.7%
Partner Communications Co. Ltd. (PTNR) - 5.4%
TransOcean Inc (RIG) - 4.9%
Sap Aktiengesell Ads (SAP) - 4.7%
SEI Investments Company (SEIC) - 5.0%
Schlumberger Ltd (SLB) - 4.7%
Cash - 1.4%

Returns

Based on beginning with a $100,000 portfolio at inception.

Equity: $107,029.63
Gain, Past 4 Weeks: +7.03%
Gain, Since Inception: +7.03%

The following stocks in the Fundamental portfolio went ex-dividend in the past four weeks. I include the number of shares that would have been bought, if the plan were executed with a starting capital of $100,000, in order to calculate the return from dividends.

ANF - 11/30/2007 - $0.70 per share @ 67 shares held = $46.90
JLL - 11/13/2007 - $1.00 per share @ 60 shares held = $60.00
MSFT - 11/13/2007 - $0.44 per share @ 148 shares held = $65.12
PTNR - 11/19/2007 - $0.96 per share @ 259 shares held = $248.64
SLB - 12/03/2007 - $0.70 per share @ 52 shares held = $36.40

Total dividends = $457.06 on the tracking portfolio. I will add this amount to the returns on the next update, four weeks from today, since all of the stocks except SLB have an announced payment date in that range. I did not see an announced payment date for SLB, but for tracking purposes I will assume it falls in this period. Dividends paid will remain in cash until needed for a new purchase. Note, commissions are expensed at $10.00 per trade when accounting for returns.

Changes To Model Allocation

Fundamental screens for stocks that meet basic criteria, then ranks them by ROE to hold the top 20. As a result of this regular four-week evaluation, Abercrombie & Fitch Co. (ANF) is removed from the list, and Greenhill & Co. (GHL) is added to the list.

If this system were to be initiated today, the target allocation would be a buy for 5% weight holdings of the twenty stocks listed in Model Allocation, with GHL substituted in the place of ANF.

Tracking

Shares of ANF will be sold, market at open on Monday. Based on portfolio total value and GHL closing price on December 7, 2007, enough shares of GHL to comprise a 5% allocation to the portfolio will be bought, market at open on Monday. Since the portfolio has room in cash, and the ANF holding is above 5% currently, I will round up any fractional shares in the share calculation for buying GHL.