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Buffett
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Annual Performance
98*990001020304050607080910111213**
Model (%) NA9195-33926324-5-35662391759
Benchmark (%) NA19-11-13-232693143-382313-01347
Excess (%) NA-103018201317011-9342109412
Risk Measurements Since Inception Trailing 3 Year
  Model SPDR S&P 500 ETF Trust   Model SPDR S&P 500 ETF Trust
Total Return 475.58% 72.50%   75.99% 63.20%
Annualized Return 12.93% 3.86%   20.73% 17.74%
Max Drawdown -60.72% -55.19%   -22.33% -18.61%
Standard Deviation 29.53% 25.40%   26.15% 21.13%
Sharpe Ratio 0.30 -0.01   0.70 0.73
Sortino Ratio 0.40 -0.01   1.01 0.94
Correlation with SPDR S&P 500 ETF Trust 0.83 -   0.92 -
R-Squared 0.68 -   0.84 -
Beta 0.96 -   1.14 -
Alpha (annualized) 8.73% -   0.86% -
Closed Trades Mkt Cap Sector Designer
General Key Stats Trading Stats
Author mgerstein Subs 72
Launch 02/01/13 Cost FREE
Rebalance 05/06/13
This is a model inspired by the philosophy of Warren Buffett. While much of what he actually does is based on his personal skill and judgment and cannot be replicated in a model, we can and have built a model that is guided by three important ideas that characterize his approach: fair valuation, solid company fundamentals and reasonable consistency. The portfolio holds approximately 20 stocks and is rebalanced every four weeks.To be eligible for consideration, stocks must pass these conditions:
  • Pass liquidity tests
  • Market cap between of at least $250M
  • Industry does not exceed 25% of total
  • Not be in an industry whose financial characteristics we deem incompatible with fundamental screening and ranking
  • Meet various test relating to financial strength, return on capital and consistency of performance.
The top ranked stocks are picked using a ranking system based on valuation, growth and earnings quality.
Discussion
DISCLOSURE Portfolio123 Models represent hypothetical or simulated performance, not actual trading. Since the trades have not actually been executed, the results may have under-or-over compensated for the impact of certain market factors, such as liquidity. Returns include dividends, commission and slippage for each trade. Remember that past returns are no guarantee of future returns.
Author mgerstein Subs 72
Launch 02/01/13 Cost FREE
Rebalance 05/06/13
This is a model inspired by the philosophy of Warren Buffett. While much of what he actually does is based on his personal skill and judgment and cannot be replicated in a model, we can and have built a model that is guided by three important ideas that characterize his approach: fair valuation, solid company fundamentals and reasonable consistency. The portfolio holds approximately 20 stocks and is rebalanced every four weeks.To be eligible for consideration, stocks must pass these conditions:
  • Pass liquidity tests
  • Market cap between of at least $250M
  • Industry does not exceed 25% of total
  • Not be in an industry whose financial characteristics we deem incompatible with fundamental screening and ranking
  • Meet various test relating to financial strength, return on capital and consistency of performance.
The top ranked stocks are picked using a ranking system based on valuation, growth and earnings quality.
Key Stats
Annualized Return (CAGR) 12.93%
Alpha 8.73%
% Invested 99.79%
Rebalance Frequency 4 Weeks
Last Rebalance Date 05/06/13
Days Since Launch 113
Holdings 20
Average Annual Yield 1.25%
Commission 0.00 (Flat Fee)
Slippage Variable
Liquidity Stats
Buy Daily Average
(bottom 20%)		 $1,390,079
Min Stock Price (at purchase) $4.52
Max Profit Contribution Single Stock 5.71%

Trading Stats
Trading Costs / Curr Mkt Value 10.06%
Average Days Held 84
Annualized Turnover 427.67%
Average Return 3.29%
Average Return Winners 13.06%
Average Return Losers -11.85%
Winners 60.78%
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