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Starting an Evaluation of Quantzilla.com

|Includes: ANN, ART, Brightpoint, Inc. (CELL), CI, ENTG, FLEX, KLIC, POL, UFS

 Quantzilla.com is a relatively new web site (copyright 2010) that claims to use a 20-dimension quantitative model to recommend individual company stocks to buy (and when to sell those that have been purchased). It costs $99/mo or $49/mo depending on which plan you choose.About Quantzilla

Quantzilla has two models, "Pro" which maintains a portfolio of 10 stocks (equally weighted) and makes weekly recommendations to buy and sell; and "Basic" which maintains a portfolio of 15 stocks and makes monthly recommendations. 
When backtesting their quantitative approach over the period 2001-2010, Quantzilla claims that their Pro model has generated average annual returns north of 60%, and their Basic model has generated average returns north of 20%. Frankly, these returns are truly mind-boggling if they are in fact accurate.
My Evalation Portfolio
So, I opened a free trial subscription and have decided to do my own evaluation for the education (and perhaps amusement) of my readers. I have devoted $10,000 of my own portfolio to the weekly Quantzilla Pro model, and I will share with you in future articles how it goes.
Quantzilla's Claim
The following chart outlines what Quantzilla claims to have achieved over 10 years of backtesting:

Value of $100k investment since 3-31-01*
Total Market Value $10,536,618.00
Number of Positions 10
   
Total Return 10,416.35%
Benchmark Return (S&P 500) 9.75%
Annualized Return 61.18%


Annual Turnover 1864.32%
Max Drawdown -61.96%
Overall Winners (1408/2251) 62.44%
Sharpe Ratio 1.39
Correlation with S&P 500 0.77
 
The Max Drawdown of 62% is a bit scary, but when your average annual returns are over 60%, maybe it is tolerable.
 
Stay tuned to this channel, and I will provide monthly updates on how my Quantzilla Pro portfolio is holding up. 
 


Disclosure: I am long ANN, ARW, AVT, CELL, ENTG, HS, POL, UFS.

Additional disclosure: I have no relationship with or beneficial ownership of QTEK Inc, the operator of Quantzilla.com.