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 February 15, 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.

Humana Inc (HUM) - 4.9%
Rehabcare Group Inc (RHB) - 5.3%
Owens And Minor Inc (OMI) - 5.7%
Suncom Wireles Hld A (TPC) - 5.3%
Medcohealth Solutns (MHS) - 5.3%
Hawk Corporation (HWK) - 5.5%
Hickory Tech Corporation (HTCO) - 5.4%
MWI Veterinary Supply, Inc. (MWIV) - 4.7%
Goodman Global, Inc. (GGL) – acquired while held
Henry Schein, Inc. (HSIC) - 5.0%

Screen Two

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

Max Capital Group Ltd. (MXGL) - 5.4%
Cimarex Energy Co (XEC) - 6.0%

A large percentage of cash was being held, as of the last update.

Returns

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

Equity: $92,419.25
Gain, Past 4 Weeks: -3.65%
Gain, Year to Date: -8.32%
Gain, Since Inception: -7.58%

Two stocks in the Aggressive portfolio went ex-dividend in the past four weeks, HTCO at $0.12 per share and XEC at $0.06 per share, for a total gain of $71.34 to the portfolio, which is included above.

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)
Triple-S Mgmt Cl B (GTS)
Enersys (ENS)
Hawk Corporation (HWK)
Newmarket Corp (NEU)
Hickory Tech Corporation (HTCO)
Zhongpin Inc (HOGS)
Cal-Maine Foods, Inc. (CALM)
Cbiz Inc (CBZ)
Western Digital Cp (WDC)

Screen Two

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

Gencor Industries Inc. (GENC)
Union Drilling, Inc. (UDRL)
Validus Holdings Ltd (VR)
Ryder System Inc (R)
Swift Ergy (Hldg Co) (SFY)
Chesapeake Energy Cp (CHK)
Ase Test, Limited (ASTSF)
American National Bankshares, Inc. (AMNB)
Cimarex Energy Co (XEC)
Aspen Insurance Hldg (AHL)

If this system were to be initiated today, the target allocation would be a buy for 5% weight holdings of each stock listed. The systems once again have a full slate of at least ten qualifiers for each screen.

Tracking

Market at open on the next available trading day, the following ticker symbols will be sold: HUM, RHB, TPC, MHS, MWIV, HSIC, and MXGL. GGL is gone, but it was acquired for cash and no longer trading, therefore it was replaced, commission-free, for the acquisition price.

Also market at open on the next available trading day, the following ticker symbols will be bought: AHL, AMNB, ASTSF, CALM, CBZ, CHK, ENS, GENC, GTS, HOGS, NEU, R, SFY, UDRL, VR, and WDC.

On the buys, targets will be set at 4.5% of equity based on Friday's closing price, and the number of shares will be rounded to the nearest whole number. There will be no rebalancing or reallocation of stocks that are retained.