Investors' Roundtable / Mechanical Investing
Well, if it isn't another real-money portfolio. On advice, I've decided to air my portfolio for public viewing. This is a mix of part of my money (what isn't company stock (VRIO) and the "foolish 8" small-caps that my wife is into) and other money I control.
The "Killer Portfolio" actually contains instructions for those who want to model their investments after it; I'd rather take the opposite view. This portfolio contains some screens that are considered experimental and/or untrustworthy, and shouldn't be imitated. Consider this more an attempt to amuse than to educate. The idea is that some of these (the true cherries) will prove worthwhile enough to make up for the others, and those others are still based on good screens and should still bring decent returns in their own right. They're similar enough in makeup that transaction costs are lower than they appear at first glance (though they're also higher than at first glance due to this really being more than one portfolio).
To make up for the experimental half, I also have a bedrock half (43% actually, but who's counting?). In late June I started out with gool ol' RP4. After some Foolish Workshop exposure, I added in July some Keystone-EPS and PEG-RSW. More recently, I've gone with the monthlies RSW and RS26, then branched out from there. Despite the fact that my annuals are getting near midlife, I'm presenting this portfolio as if it started on 1 Oct. I'll only mention in passing that my RP and Keystone have been killing me, RS has been about even, and the PEG has been (relatively) flying. But for the "beginning" of the portfolio, I have:
Since I've put this together, I've taken a look at the backtested returns for these screens and derivatives. Note the returns for the annual screens are for July starts. I'm including both the theoretical CAGR and one derived from my situation, both the starting balance and taxes - which vary between portfolios and even within some.
Screen Value %
RP 11049.39 19
PEGRSW 8809.52 16
Keystone EPS 4480.03 8
RS13/RS26 18468.57 33
PEG13 Movers 5928.39 10
RS Freshmen 2676.77 5
PEG13/RS13 2340.69 4
PEG13/PEG26 1480.38 3
RS26 Bullet 1373.41 2
Total 56607.15 100
The annual screens look abyssmal here, and bad enough without considering they comprise my fully taxable account (I imagine RP won't look much better). Looking at the "real" estimations for the experimental screens, I've got good hopes for them to rise above the steadies. Don't be surprised if the annuals get a premature replacement in January (there will be no tax issues this year unless Isee some actual gains).
RP ? ?
PEGRSW 20.2 11.4
Keystone EPS 17.6 11.5
RS13/RS26 57.9 49.3
PEG13 Movers 81.5 68.1
RS Freshmen 67.7 59.3
PEG13/RS13 80.3 73.6
PEG13/PEG26 71.1 64.0
RS26 Bullet 66.3 65.9
Aside from the annual screens, everything I'm doing is new and experimental and deserves some explanation...
RS13/RS26
http://gritton.org/ws/overlap/?submit=Run&from=1986&to=1998&month=1&hold=1&screen1=rs13&screen2=rs26&pos1=1&pos2=25&limit=3
This is the state of the art of the RS Overlap, the top 3 from RS13 and RS26 1-25, no padding necessary. There is still some vestigial 2-9:2 left over in an account that's stuck in mid-transfer. When that transfer goes through, look for RS13/RS26 to get smaller and something new to appear. This is considered that safest of the dangerous screens, not surprising given its lower CAGR.
PEG13 Movers
http://gritton.org/ws/movers/?submit=Run&from=1986&to=1998&month=1&hold=1&screen=peg13&pos1=1&pos2=4&limit=2
Take the top 4 PEG13 and see how far they've moved up the list from last month. Buy the top 2 in that ranking. This re-ranking of the top 4 gives a better CAGR than not only PEG13:1-2, but even better than the feared PEG13#2 itself.
RS Freshmen
http://gritton.org/ws/freshmen/?submit=Run&from=1986&to=1998&month=1&hold=1&screen1=rs26&screen2=rs13&fpos1=1&fpos2=5&pos1=2&pos2=9&limit=2
Out of RS13 1-5, take those that weren't in that list last month. Do the same with RS26 1-5. Overlap (intersect) these and take the top 2. If there aren't any, use the RS Overlap (still 2-9:2) instead.
PEG13/RS13
http://gritton.org/ws/overlap/?submit=Run&from=1986&to=1998&month=1&hold=1&screen1=peg13&pad1=yes&screen2=rs13&pos1=2&pos2=6&limit=2
Another overlap screen. This is PEG13 and RS13 positions 2-6 top 2, padded with PEG13. It's roughly 40% true overlap, 40% half overlap, and 40% pure pad.
PEG13/PEG26
http://gritton.org/ws/overlap/?submit=Run&from=1986&to=1998&month=1&hold=1&screen1=peg13&screen2=peg&pos1=1&pos2=10&limit=2
Another overlap. This is PEG13 and PEG26 positions 1-10 top 2, unpadded. In the backtest, it amost always got its 2 selections without padding, and always got at least one.
RS26 Bullet
http://gritton.org/ws/bullet/?submit=Run&from=1986&to=1998&month=1&hold=1&screen=rs26&start=4&stop=11&stopud=d&stop2=5&stop2ud=d&stoploss=5
Buy the #4 position in RS26. Hold it as long as it's on the list (top 10). When if falls off, buy the new #4 position. Also includes a stop-loss: if the stock is 5% down and you're below the #4 rank, buy the new #4. This is watched weekly, but traded less than monthly so far. This has been a real loser for me, getting losses in JDSU, TAN, and IDPH so far (and if you can lose with JDSU you can lose with anything). This was the first of my high-gain screens, but there better things out there now, so it may go away soon.
I began tracking this on Friday, 1 Oct. At that date, I sold some stuff (not important here) and bought:
Executions:
bought CTS 84 56 7/8
bought CTS 25 55 11/16
bought CTS 21 56 15/16
bought CY 92 23 1/2
bought CY 66 23 9/16
bought MNMD 22 86 1/4
bought SYMC 77 35 15/16
bought SYMC 61 36
And here's the portfolio as it stands:
- Jamie
RP
CHV 38 88 3/16
EK 51 75 1/4
GM 47 62 1/4
S 63 32 3/4
$ (1216.67)
PEGRSW
VISX 20 73 1/8
TTN 167 15 3/16
SEBL 32 66 3/4
QCOM 12 186 13/16
BBY 23 61
$ (970.04)
Keystone EPS
SCH 28 32 9/16
AOL 11 107 7/8
SUNW 19 92
LU 18 62 5/8
$ (493.33)
RS13/RS26
PMCS 82 94
JDSU 61 115 1/4
CTS 34 53 1/2
MNMD 22 83 1/16
$ 83.94
PEG13 Movers
SYMC 83 35 19/32
CY 127 23 3/8
$ 5.48
RS Freshmen
CTS 50 53 1/2
$ 1.77
PEG13/RS13
CTS 21 53 1/2
SYMC 34 35 19/32
$ 7.00
PEG13/PEG26
SYMC 31 35 19/32
CY 21 23 3/8
$ 8.29
RS26 Bullet
CTS 25 53 1/2
$ 35.91