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 January 18, 2008.

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.

Owens And Minor Inc (OMI) - 5.2%
Computer Task Group, Incorporated (CTGX) - 3.8%
Tecumseh Products Company (TECUA) - 4.3%
Bunge Ltd (BG) - 4.9%
Costco Wholesale Corporation (COST) - 4.9%
Ruddick Cp (RDK) - 4.8%
Humana Inc (HUM) - 5.8%
Rehabcare Group Inc (RHB) - 6.4%
Coca Cola Entrpr Inc (CCE) - 4.9%
Medcohealth Solutns (MHS) - 5.4%

Screen Two

Qualifiers for this screen are sorted by recent speculative interest as of the last post, from highest to lowest.

Pepsi Bottling Grp (PBG) - 4.8%
Axis Cap Hldgs Ltd (AXS) - 5.0%
Max Capital Group Ltd. (MXGL) - 5.3%
Chubb Cp The (CB) - 4.8%
Allied Wld Assur Co (AWH) - 4.9%
Archer Daniels Mdlnd (ADM) - 4.9%
Edison Intl (EIX) - 4.8%
Alliant Energy Cp (LNT) - 4.6%
American Physicians Service Group, Inc. (AMPH) - 5.0%
No tenth qualifier - hold cash instead - 5.4%

Returns

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

Equity: $95,922.02
Gain, Past 4 Weeks: -6.02%
Gain, Year to Date: -4.85%
Gain, Since Inception: -4.08%

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.

Humana Inc (HUM)
Rehabcare Group Inc (RHB)
Owens And Minor Inc (OMI)
Suncom Wireles Hld A (TPC)
Medcohealth Solutns (MHS)
Hawk Corporation (HWK)
Hickory Tech Corporation (HTCO)
MWI Veterinary Supply, Inc. (MWIV)
Goodman Global, Inc. (GGL)
Henry Schein, Inc. (HSIC)

Screen Two

Qualifiers for this screen are sorted by recent speculative interest, from highest to lowest.

Max Capital Group Ltd. (MXGL)
Cimarex Energy Co (XEC)

No other qualifiers - 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. This is a fairly rare event to have so few qualifiers. The model portfolio will be 40% cash by the end of the next trading day.

Tracking

Market at open on the next available trading day, the following ticker symbols will be sold: ADM, AMPH, AWH, AXS, BG, CB, CCE, COST, CTGX, EIX, LNT, PBG, RDK, and TECUA.

Also market at open on the next available trading day, the following ticker symbols will be bought: GGL, HSIC, HTCO, HWK, MWIV, TPC, and XEC.

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 40% cash allocation dictated by the model. There will be no rebalancing or reallocation of stocks that are retained.