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 March 14, 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) - 5.5%
Triple-S Mgmt Cl B (GTS) - 4.4%
Enersys (ENS) - 4.3%
Hawk Corporation (HWK) - 4.8%
Newmarket Corp (NEU) - 5.5%
Hickory Tech Corporation (HTCO) - 5.1%
Zhongpin Inc (HOGS) - 3.5%
Cal-Maine Foods, Inc. (CALM) - 5.8%
Cbiz Inc (CBZ) - 4.3%
Western Digital Cp (WDC) - 5.1%
Screen Two
Qualifiers for this screen are sorted by recent speculative interest as of the last post, from highest to lowest.
Gencor Industries Inc. (GENC) - 6.0%
Union Drilling, Inc. (UDRL) - 4.0%
Validus Holdings Ltd (VR) - 4.7%
Ryder System Inc (R) - 4.9%
Swift Ergy Hldg Co. (SFY) - 5.0%
Chesapeake Energy Cp (CHK) - 5.3%
Ase Test, Limited (ASTSF) - 5.0%
American National Bankshares, Inc. (AMNB) - 4.5%
Cimarex Energy Co (XEC) - 7.2%
Aspen Insurance Hldg (AHL) - 4.5%
About 0.4% cash was being held, as of the last update.
Returns
Based on beginning with a $100,000 portfolio at inception.
Equity: $91,406.52
Gain, Past 4 Weeks: -1.10%
Gain, Year to Date: -9.33%
Gain, Since Inception: -8.59%
Four stocks in the Aggressive portfolio went ex-dividend in the past four weeks, AMNB, NEU, OMI, and VR, for a total gain of $121.35 to the portfolio, which is included above.
Changes To Model Allocation and System Weights
Aggressive is an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. In the past, I had been using 10 positions from each system; in keeping with the title of this post, however, I will now be using only the 5 highest-ranked positions from each system. This should make the system generate slightly higher returns, albeit at a higher volatility, and it should also reduce the transaction expenses going forward. The new model allocation is a 10% holding of each of the following stocks.
Screen One
Qualifiers for this screen are sorted by Price/Sales ratio, from lowest to highest.
Chiquita Brands New (CQB)
Owens and Minor Inc (OMI)
Tecumseh Products Company (TECUA)
Olympic Steel, Inc. (ZEUS)
Bancolombia Sa (CIB)
Screen Two
Qualifiers for this screen are sorted by recent speculative interest, from highest to lowest.
Cimarex Energy Co (XEC)
Plains Expl&Prod (PXP)
Stone Energy Cp (SGY)
Swift Ergy Hldg Co. (SFY)
Seacor Holdings Inc (CKH)
If this system were to be initiated today, the target allocation would be a buy for 10% weight holdings of each stock listed.
Tracking
Shares of GTS, ENS, HWK, NEU, HTCO, HOGS, CALM, CBZ, WDC, GENC, UDRL, VR, R, CHK, ASTSF, AMNB, and AHL will be sold Monday morning, market at open. Additional shares of OMI, XEC, and SFY will be bought, in order to bring that position to the new weight of 10%. New positions in CQB, TECUA, ZEUS, CIB, PXP, SGY, and CKH will be bought at 10% weights.
