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Dark-Liquidity.com operates a free website primarily with a interest in quantitative trading strategies. The site tracks the stock / ETF holdings and performance of various trading strategies and several other mainly free trading strategy websites. The site focuses on market timing with many... More
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  • Consensus: Stocks Pass The Most Screens After One Year Holding Period
    This is a follow up to a previous article published April 24, 2011 on an AAII article published in their December 2010 issue listing stocks that passed 4 or more of the 60 stock selection screens that they track. Many of these screening methodologies are based upon the principles of well know investors such as Warren Buffett, William O'Neil, John Neff, Peter Lynch, John Templeton and Martin Zweig, with other screens being based on basic investing principles such as a low PE ratio or improving earnings estimates. The December 2010 list was created based on financial data dated November 12, 2010.

    At selection time, China Automotive (
    CAAS) was tied with MWI Veterinary Supply (MWIV) and EZ Corp (EZPW) for first place, each passing 6 different screens. Seemingly, these stocks should be the best of the best since there is consensus in the multiple differing stock screen selection methods.  In the prior portfolio performance review conducted about 6 months after the AAII list was created, MWI Veterinary Supply and EZ Corp. had performed well, rising 41% and 25% respectively. However, China Automotive had declined almost 40%.   
    After a one year holding period both MWI Veterinary Supply and EZ Corporation have lost some of their prior gains but still easily outperformed the overall market rising 18.9% and 16.8% respectively.
    At the time of the prior review China Automotive then commanded first place in the number of screens passed with a total of 10 screens. Although, we warned then that it was still probably wasn’t a ‘buy’ as it was still trending downwards. Indeed, China Automotive (CAAS) continued to decline and is down almost 70% after a one year holding period.
    So, would it have been a good strategy to create a portfolio of all 25 stocks based on these mainly fundamental qualitative selection methods? Not this year. The portfolio as a whole has underperformed the overall market with a drop of 10.43% compared to an increase in the S&P 500 of 4.83% and 8.95% for the Nasdaq over the same period.
    This method of stock selection produced about 36% market beating winners and 45% miserable losers. Relatively few stocks seemed to simply follow in line with the general market performance. Here is a listing of the individual stock performance with the winners at the top.


    Double click on the chart to enlarge it.
    Dec 05 10:40 PM | Link | 2 Comments
  • Magic Formula Investing
    In August we began monitoring the performance of the strategy described in Joel Greenblatt's book "The little book that still Beats the Market". The stock screener on the Magic Formula Website is used to select a portfolio of 30 stocks with a market cap of 50 million dollars on the first trading day of each month. Each basket of stocks will be held for a one year period after which they are sold. (The system is designed to maximize after-tax returns for gains to become long-term by holding them for a year, and selling any losses before the one year holding period is reached.)  The performance of each of the monthly basket of stocks is compared to the S&P 500 and Nasdaq indices at the end of each month in the charts below.

    At the end of November, the August 1st portfolio shown was down 17.49% compared to the S&P 500 and Nasdaq which were only down -5.61% and -4.82% respectively. The September portfolio is similarly underperforming the market although has recovered after being down 17.26% after the first month.

    The October portfolio was beating the market indices handily at the end of November.

    The November portfolio also beat the market after the first month.

    The stocks held in each portfolio and the current performance can be viewed on the strategies page under the “Magic Formula” link at dark-liquidity.com.
     
    Dec 03 7:13 PM | Link | Comment!
  • 2011 Stock Picks Update
    This is an update to the 2011 stock pick portfolios for SmartMoney, Money, Fortune, Kiplinger and Barrons publications and also brokers, J P Morgan, Morgan Stanley and Goldman Sachs. 
    The stock pickers have held roughly their same standings since our last report with the exception of Kiplinger, which has moved up from sixth to second place.  Goldman Sachs easily maintains first place and Fortune still holds last place. 
    As of September 2, we now only have one of the eight stock pickers beating both the S&P and the Nasdaq. Fortune and J.P.Morgan’s losses are now approximately three times the market indexes.

    performance chart 9-2-11

    The year to date performance of the portfolios plotted with Friday market closing performances is shown below;



    The top ten stock picks as of 9-7-11 are as follows;

    CompanyTickerPurchase PricePrice NowGain / LossStock Picker
    VF Corp.VFC $86.63$114.3431.99%Kiplinger
    VisaV$70.40$87.8824.83%Money Magazine
    StarbucksSBUX $32.49$39.2220.71%Goldman Sachs
    Polo Ralph LaurenRL$112.08$135.0820.52%Kiplinger
    TJX TJX $44.57$52.9418.78%SmartMoney
    AppleAAPL $325.64$383.6517.81%Fortune / Goldman Sachs / J.P.Morgan / Morgan Stanley
    McDonald'sMCD $77.10$89.0315.47%Kiplinger
    Precision Cast PartsPCP $140.38$159.0213.28%Goldman Sachs
    Digital Realty TrustDLR$51.96$58.7513.07%Goldman Sachs
    KraftKFT $31.76$34.679.16%J.P.Morgan

    The bottom ten stock picks are as follows;
    CompanyTickerPurchase PricePrice NowGain / LossStock Picker
    ItronITRI $55.94$37.72-32.57%J.P.Morgan
    Bank Of New York MellonBK$30.47$20.38-33.11%Money Magazine
    MF Global HoldingsMF$8.43$5.27-37.49%J.P.Morgan
    FordF$17.02$10.44-38.66%Morgan Stanley
    Rubicon TechnologyRBCN$21.41$13.08-38.91%J.P.Morgan
    General MotorsGM$37.32$22.60-39.44%Barrons
    hhgreggHGG$21.14$11.29-46.59%Kiplinger
    Royal CarribeanRCL $47.49$25.03-47.29%Fortune
    US SteelX$59.29$29.94-49.50%J.P.Morgan
    EntropicENTR$12.40$4.48-63.87%Fortune
    Sep 07 12:40 PM | Link | Comment!
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