Systematic US Equities Investing

mahras2 · Apr 14, 2006

Midmonth Update:

Model still outperforming the index even after some recent decline in the picks.

April (as of now):

Model: +0.24%
S&P 500: -1.06%

Feel free to post any questions or comments here or use the email at www.aeroscapital.com

mahras2 · Apr 22, 2006

Update for April (as of now):

Model: +2.5%
S&P 500: +0.64%

All positions to be liquidated on April 28th close.

mahras2 · Apr 28, 2006

Liquidated all position at the close. Returns for the month of April:

Model: +3.40%
S&P 500: +0.59%

List for May will be posted on www.aeroscapital.com

Edit: Didn't notice that AOS payed a $0.16 dividend.

dozu888 · Apr 28, 2006

just by eyeballing the charts and some rough math, the average price improvement on the 10 stocks is about 1.7% .... do you have execution history to reflect the 3.4%

mahras2 · Apr 28, 2006

Here you go. Most of the gains were concentrated on one pick alone (AP).

http://img.villagephotos.com/p/2005-8/1064681/aprtable.GIF

mahras2 · Apr 30, 2006

May list published at www.aeroscapital.com

RichardRimes · Apr 30, 2006

interesting journal...fwiw I put on the March positions in my paper trading account as close as I could to the recommendations(following the journal end of last feb) didn't update (forgot and forgot who started the journal

).

Today I'm up 8.8% for the last two months. would perhaps this system work better if you adjusted only quarterly?

mahras2 · Apr 30, 2006

Hey Donna,

I have actually tested it out on a quarterly basis. Here are the results from 1989-2005:

Return: +33.41%
Sharpe: 1.16

Yearly breakdown:

1989 49.83
1990 13.40
1991 90.52
1992 28.63
1993 27.89
1994 8.21
1995 71.52
1996 26.76
1997 44.15
1998 46.72
1999 70.60
2000 45.31
2001 -1.51
2002 3.157
2003 23.23
2004 14.93
2005 42.10

Its not as profitable as the monthly rebalance although still strong.

dozu888 · May 1, 2006

Quote from mahras2:

May list published at www.aeroscapital.com

mahras how do you deal with sector bias? It appears that if you are using a combination of momentum and value, a 'hot' industry will generate a lot of candidates, while an industry in slump will generate few.

Have you done any study on if an effort to diversify among industries would reduce risk?

Thanks,
Don.

mahras2 · May 1, 2006

Quote from dozu888:

mahras how do you deal with sector bias? It appears that if you are using a combination of momentum and value, a 'hot' industry will generate a lot of candidates, while an industry in slump will generate few.

Have you done any study on if an effort to diversify among industries would reduce risk?

Thanks,
Don.

Hey Don,

Naturally sector bias exists. For example, this month's list contains a lot of transportation (railroads, trucks) as well as industrials. I have analyzed the entire ranking list of the universe and typically certain industries end up near the top while others are at the bottom. What I hypothesize is that those sectors provide the best opportunity for investors and the portfolio should be focused on them. If I had to diversify based upon sectors, the returns would be significantly lower while risk also would increase as we would be putting out money on "poorer" opportunities. Overall, I would say that due to the high rate of turnover such risk is decreased as sectors which have lost momentum are quickly gotten rid of.

Hope this helps,
B