Aggressive is an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. Each screen produces an exceptional trading plan by itself, but when the two are combined, the volatility of returns is reduced without much degradation of total returns. This is because their backtested, detrended equity curves have relatively low correlation.
Information is as of the close on December 21, 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. Order is by screen name and weights are rounded to the tenth of a percent.
Screen One
Qualifiers for this screen are sorted by Price/Sales ratio as of the last post, from lowest to highest.
Chiquita Brands New (CQB) - 5.1%
Longs Drug Strs Inc (LDG) - 4.2%
Lyondell Chem Co (LYO) - 0.0% - acquired, shares no longer traded
Rehabcare Group Inc (RHB) - 5.4%
Enersys (ENS) - 5.2%
Medcohealth Solutns (MHS) - 4.9%
Hawk Corporation (HWK) - 4.8%
U R S Cp (URS) - 4.5%
Fcstone Group, Inc. (FCSX) - 5.8%
Pepsi Bottling Grp (PBG) - 4.6%
Screen Two
Qualifiers for this screen are sorted by recent speculative interest as of the last post, from highest to lowest.
Helmerich Payne (HP) - 5.4%
Flagstone Reinsurance (FSR) - 5.1%
Teco Energy Inc (TE) - 5.0%
Cimarex Energy Co (XEC) - 5.2%
Max Capital Group Ltd. (MXGL) - 5.0%
PartnerRe Ltd (PRE) - 4.9%
Merchants Bancshares, Inc. (MBVT) - 5.0%
Cleco Cp (CNL) - 4.8%
Edison Intl (EIX) - 5.0%
Fairfax Finl Hld Sub (FFH) - 4.7%
Cash of approximately 5.6% is currently held; this is the cash from slippage of planned purchases four weeks ago, and the additional cash from the acquisition of LYO.
Returns
Based on beginning with a $100,000 portfolio at inception.
Equity: $102,065.92
Gain, Past 4 Weeks: +2.07%
Gain, Since Inception: +2.07%
No stocks in the Aggressive portfolio went ex-dividend in the past four weeks.
Changes To Model Allocation
Aggressive is an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. The new model allocation is a 5% holding of each of the following stocks.
Screen One
Qualifiers for this screen are sorted by Price/Sales ratio, from lowest to highest.
Owens And Minor Inc (OMI)
Computer Task Group, Incorporated (CTGX)
Tecumseh Products Company (TECUA)
Bunge Ltd (BG)
Costco Wholesale Corporation (COST)
Ruddick Cp (RDK)
Humana Inc (HUM)
Rehabcare Group Inc (RHB)
Coca Cola Entrpr Inc (CCE)
Medcohealth Solutns (MHS)
Screen Two
Qualifiers for this screen are sorted by recent speculative interest, from highest to lowest.
Pepsi Bottling Grp (PBG)
Axis Cap Hldgs Ltd (AXS)
Max Capital Group Ltd. (MXGL)
Chubb Cp The (CB)
Allied Wld Assur Co (AWH)
Archer Daniels Mdlnd (ADM)
Edison Intl (EIX)
Alliant Energy Cp (LNT)
American Physicians Service Group, Inc. (AMPH)
No tenth qualifier - hold cash instead.
If this system were to be initiated today, the target allocation would be a buy for 5% weight holdings of each stock listed. Interestingly, Pepsi Bottling Grp (PBG) dropped off of one list and came up on the other.
Tracking
Market at open on the next available trading day, the following ticker symbols will be sold:
CNL, CQB, ENS, FFH, FSR, FXCS, HP, HWK, LDG, MBVT, PRE, TE, URS, XEC.
Also market at open on the next available trading day, the following ticker symbols will be bought:
ADM, AMPH, AWH, AXS, BG, CB, CCE, COST, CTGX, HUM, LNT, OMI, RDK, TECUA.
On the buys, targets will be set at 5% of equity based on Friday’s closing price, and the number of shares will be rounded to the nearest whole number. It is anticipated that the system will hold very close to the 5% cash allocation dictated by the model. There will be no rebalancing or reallocation of stocks that are retained.
