Another good week for the combination screen. The 10 stocks beat the broader market index by 0.4% gaining 1.8% for the week. After 9 weeks, the portfolio is up almost 11.50%, beating the S&P500 3 to 1. I have to admit that I am surprised by the results, but the market has been very helpful to bullish bets!
I have updated the old weekly picks but I will now treat them as long time experiment to see how long an effect the criteria have.
For example, the original 10 stocks picked on 1/31/2011 are still up strong after 9 weeks! Not doing quite as well as the portfolio that I rebalance every 4 weeks, but still beating the market by a wide margin.
I'll post results for all the screens later this week. But so far, not one of the weekly list is trailing the broader market average. This seems to validate the criteria. But more testing is still needed.
The candidates for this week's list are:
As usual, I will select only the top 10 as ranked by price-to-sales for my weekly list.
Big week last week! The portfolio was up 3.42% as compared to the 2.77% for the broader average. We are now back close to 10% for the last 8 weeks, beating the market by more than 4-1. Stocks are up over 5% after I pick them with a holding period of about 4 weeks - there was just one survivor from the first group.
This is the last week for this group of stocks as I will rebalance the portfolio this week.
Here are the candidates for to be added next week:
As usual, I will pick only the top 10 of this list. There will be at least 1 survivor (ING) and 2 returning stocks (IM and SCSC).
Here at last the results from last week! Sorry it's late, I have been buy with other projects! I'll publish only the results for the running portfolio this week and resume full fledge results next week!
For the second time in 7 weeks, the portfolio trailed the broader average last week - only by 0.2%. Overall, the portfolio is up over 6% since inception while the S&P500 just turned negative in the last week. Not bad! This is the last week for this set of stocks as I will rebalance next week after 4 weeks.
And here is the list for this week! As usual, sorted in ascending Price-to-Sales. The top 10 that I will track are hilighted in yellow.
And here is the list generated by the screen after end of day Friday. Once again, ranked by Price-to-Sales ascending. The top 10 are outlined in yellow. These are the ones I will track.
Another decent week for the combination screen. Below are the results for all the current list that I am tracking. I have abandoned the short list until I can find criteria that are more correlated to the stock prices. In addition, the market is a tough one to short now...
1/31/2011 Portfolio
The original list. I kept only the top 10 stocks from the original list in the portfolio for multiple reasons - they perform much better than the entire list (a good reason) and second of all, I can't keep up with 30 to 40 names on all the portfolios. As I outlined when I started, I will rebalance the portfolios every 4 weeks meaning that some stocks will be sold and others added. This time, there was only one survivor - MRO. Here are the results for last week and since inception.
The original list is in yellow, the new one in blue. MRO is in blue only for last week as it is in both lists. Last week, the portfolio was up over 3% compared to 0.16% for the S&P500. Overall, the list is up 9% over the last 5 weeks compared to 3.13% for the broader market. Stocks are up on average 4.74% after I pick them and remember that for 9 of them, it's only for a week. So far, so good!
2/4/2011 Portfolio
This one had a positive week, but not as good as the original list.
Since inception, it is up over 1.5%, doubling the S&P500. Not great, but we'll take it.
2/11/2011 Portfolio
Same story for the following list. This one was created when the S&P500 was making new highs and the broader market is down since then. However, the portfolio is up which I guess is a good sign.
2/18/2011 Portfolio
This next portfolio suffers from the same problem. The S&P500 is down 1.5% since inception is the list is not immune although down only 0.22%.
This list is saved by one big winner though - PC Mall.
2/25/2011 Portfolio
The latest list created only last week. Since it mirrors almost entirely the first portfolio (I used it to rebalance), the performance match what the first list did last week.
A big week nonetheless.
Overall, a pretty good week for all the lists as they all beat the broader market average. And all also beat over their lifetime. The challenge will be if we hit a correction. I will post an article about cash management based on the Charles Kirkpatrick book.
Given the market movement last week, it is not surprising that the list this week is limited to only 15 names since we screen for stocks within 95% of their 52 week high. This actually a feature of the list because in a down market there will be fewer names which will keep us in cash!
Once again, the top 10 are highlighted as the stocks are sorted by ascending Price-to-Sales ratio. I will use that list to rebalance the first list however, there are few survivors so this will be almost a complete turnover...
Here are the Combination Screen results for this week. This was not a great week as expectedly some people took some profits on the big winners and all the stocks on the list are at or close to their 52 week high.
2/1/2011 Screen
This is the original screen that is now 4 weeks old. I will not track this one on a weekly basis anymore as I had planned on rebalancing each screen after 4 weeks. But I will still check the results on a monthly basis for the next 5 months and see if the criteria have a long term impact on results.
This screen was hit the hardest this week, with the top 10 losing over 3%. The total screen is trailing the market over the last 4 weeks by 0.3%, but the top 10 are still up 3% more that the S&P for the last 4 weeks. Not too bad...
2/8/2011 Screen
I am tracking only the top 10% for the following screens. This screen was also hit hard last week. It still beats the market over the last 3 weeks, but barely.
2/15/2011 Screen
This screen did better than the 2 previous ones and is positive over 2 weeks while the S&P500 is in the red.
It is down to a couple big winners though!
2/21/2011 Screen
This is the screen from last week. This one did great last week but it is mostly due to the performance of PC Mall which is up 16% for the week. I guess sometimes it better to be lucky than good! The top 10% are down only 0.5% for the week when the overall market is down 3 times that.
Here is the latest list from my combination screen. Once again, ranked by Price-to-Sales. I will track the performance of the top 10 only for this list.
There are 102 stocks in the list, but I list only the top 80 here... As the market makes new high, more and more stocks also make new high so the list is growing every week! The top 10 are highlighted in yellow. I will track these stocks over the next 4 weeks.
Time to update the screens for this week. I am now tracking 3 versions of the combination screens (one for each of the last 3 weeks) and I will also update the test screen of stocks to short. I will present the new list for the screen in another post later today.
January 31 List
To begin with, here is the first screen from 3 weeks ago. Since this is the original screen that I will rebalance on a monthly basis, I track the entire portfolio. For the other weekly list, I will track only the top 10 as ranked by the Price-to-Sales ratio since my testing has shown it to be the best criteria.
Over the last 3 weeks, the entire list is up 5.37% as opposed to 4.73% for the broader market as represented by SPY. The list was up 1.94% last week along as opposed to 1.07% for SPY. The top 10 (ranked by Price-to-Sales) is nothing short of great. Up 2.32% for the week and 9.44% over the last 3 weeks. It beats the market by over 4%. Next week is the last week for this entire list as I will rebalance the portfolio. I suspect that there will be some heavy turnover! But the goal is to maximize performance, not hold stocks for a long time!
February 7 List
The list created 2 weeks ago also had a good week. To save time, I am tracking only the top 10 for the weekly list. Last week, these 10 stocks were up 2.47%, beating the market by close to 1.5%. They are up 4.46% for the last 2 weeks, up close to 2% over SPY.
February 14 List
This week is only a week old. And once again, it beat the market pretty handily for the week, up 2.63% as compared to 1.07% for SPY.
There seem to be a pattern emerging here as newer list outperform the older list in perfect order. Something to track over the next months!
Stocks to Short List
Well, a rising tide lifts all boats... Even though I tried picking stocks that are close to their 52 weeks low ranked with descending Price-to-Sales ratio, the entire list did manage to stay positive. It did underachieve the broader market though by around 0.5%. This would be a better list to track in a correction. Unfortunately, none on the horizon so far....
That is is for the current screen... A very good week overall!
I have tried to sort out the results from the lists generated the last 2 weeks by the Combination Screen and here are some thoughts. At first I tried combining all the fundamentals numbers into one rating and applying it to rank the stocks in the list. The first week, it generated results that beat that overall list but not by much. And it did not carry over to this week. I tried using a technical rating based on multiple technical indicators, but so far, I cannot find a correlation. Then I went back to the books that inspired the screen to begin with and remembered the fundamental criteria that was cited more often - Price-to-Sales. As an experiment, I ranked the stocks by the Price-to-Sales ratio in ascending order and analyzed the numbers. Not surprisingly (in hindsight), this makes a big difference! Here are the results:
After the first week, the top 10 stocks in the list (highlighted in yellow in the list) are up an average of 5.93% with only one loser. This beats the market by 3.83%. After 2 weeks, the top 10 are up 6.99%, beating the market by 3.36% so losing some ground. But it is expected after such results in the first week! Still some very big winners and only 2 losers (20%). Not bad...
Seeing the first week results, I went back to the list generated by the screen last week and ranked the stocks by their Price-to-Sales ratio again and again, they beat the market average.
The overall market was up by 1.49% last week, but the top 10 on the list were up 1.89%. Not as good as the first set of stocks, but still noticeable. But 3 losers out of the 10.
This is something worth monitoring over the long run! This is the reason why I listed the screen results for this week in ascending order of the Price-to-Sales ratio. I will keep on monitoring the results based on that criteria as well.
Also, the set of data generated by the screen is not representative enough to do a complete analysis so my plan now is to try to find a correlation between fundamental values and performance over 6 months to a year. I will generate a much larger list, track the performance and analyse the results on a monthly basis! More on this in a later post.
I have not been posting at all this week as I was sick! But back to the keyboard again.... Here is the list of stocks passing the screen criteria as of Friday. I have copied only the first 70 as the list now has over 80 names! I will have another post on some research I have done to screen out the best candidates later. This list is sorted on the Price-to-Sales ratio.
