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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Discounted Cash Flow Simulation |
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gmealey
Advanced Member  UNITED STATES Joined: May 6, 2004 Posts: 42 Status: Offline |
I have developed a simulation which could be of interest to others. It is DiscCashFowScreenGAM 3 and is visible to the community. It has an annual return of 49.65%. What is interesting to me is that it obtained this return while investing in mostly large cap and mid cap stocks. The basis of the simulation is to compare the present value of the predicted cash flow of the stock to the current price. Only stocks whose present value of cash flow is 10% or more above the current price are used to create a universe which is then rated and considerd for investment. ( A universe of about 653 stocks is created with today's data ) I plan to work further to improve the model's return, drawdown percentage and Sharpe Ratio etc. Would invite others to give input, suggestions & criticism also. There is also a screen "DiscCashFlowScreenGAM" which is visible to the community. It utilizes the same concept. GAM ---------------------------------------- gmealey |
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