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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 2 comments
    Dec 5, 2011 10:40 PM | about stocks: EZPW, CAAS, MWIV, WRLD, TEF, MTRN, BWLD, VCI, ESI, WDC, AMED, TRW, UNH, CVX, SOL, TEO, BBRY, INTC, IDA, LDK, NVS, JNJ, LKQ, CTSH
    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.
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Comments (2)
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  • Looks like the Consensus Portfolio's performance would have been much better if risk was limited by the use of 25% trailing stop losses.
    14 Jan 2012, 01:23 PM Reply Like
  • The stop loss ides is great. But I think 25% is too large. It would be interesting to see some math whiz compute the optimal stop-poss-percent using the total performance of the entire list.
    31 Jan 2012, 11:19 PM Reply Like
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