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Portfolio123 » List all forums » Forum: Latest Release » Thread: New "Value" Model Portfolios |
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Total posts in this thread: 7 |
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marco
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We've created a new rating system called ValueRank which you can see here. It is a very simple system compared to something like the Balanced systems. It only uses 6 inputs, and shows some impressive predictive power: The stocks ranked from 100-80 average 24% CAGR and the stocks ranked from 20-0 return about -1% CAGR. We created 3 new models that use this system. We also made the Buy/Sell rules very simple compared to some of the other models. There is only one sell rule: Sell if the rank drops below 60. The results are impressive for a value based approach. You can access them here: Value 25 Stocks - Cap 500M Value 40 Stocks - All Universe Value 40 Stocks - Cap 500M ---------------------------------------- Portfolio123 Staff ---------------------------------------- [Edit 1 times, last edit by marco at May 11, 2004 1:24:37 AM] |
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dowbuys
Member
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I am new to this service and this is probably a very dumb question, but here goes anyway: when I looked at the strategy I couldn't figure out what specific parameters you were using. For example, do you use minimums that didn't show up on the screen? What am I missing? P.S. FWIW, I looked up one of your recent "value" buys (PRE) and it showed up as a pick with the value system I use. |
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marco
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The stategy you looked at is the rating system. It rates all stocks from 100-0. It is different from a screener since no stocks are eliminated. The Quick Start Guides should help you out. They are located here. ---------------------------------------- Portfolio123 Staff |
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mitko
Member  UNITED STATES Joined: Mar 12, 2004 Posts: 15 Status: Offline |
Hi Marco, I modified your new ranking system ValueRate and I beleive I improved it a bit. Look at my Value MGM ranking system, the top 10% of the stocks return over 30% (rebalanced avery 3 months). However when I use it with my existing simulations instead of ValueSheet Simple, I get much lower performance. Any idea what is the reason? Also a question that came to my mind looking at the performance chart (bar chart): I would expect that the SP500 would be somewhere in the middle since it does not make sense that 90% of the stocks outperform the SP500 index. SP500 index is quite close to the Total Market index and I would expect that 50% of the stocks would be below the index. mitko |
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charliechaser
Member  UNITED STATES Joined: Apr 20, 2004 Posts: 2 Status: Offline |
Hi Marco, Thanks for yoour hard work and for sharing your new strategies with us. My problem with most of the ranking systems is that the maximum drawdown is too high. I believe most investors get a bit jittery when a portfolio is down over 20% within a month or two. For me, the ratio between the annualized return and the maximum drawdown should be less than 1. For example, if your ranking system gives you an annualized return of 25% but a maximum drawdown of 30%, I beilive that the risk-reward of this system is too high. I am striving for a system that will give me at least a 25% annual return over at least 3 years but with a maximum drawdown of under 20%. Charlie |
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Capnpaul
Advanced Member
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Hello Mitko, The performance chart bar for the S&P is the return for the entire period of the Index. The Peformance bars for the Ranking System show the return of the ranked issues after a preselected period (frequency). see Help file |
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marco
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Mitko, The SP500 is a market cap weighted index, while the performance bar chart averages the stocks in a particular rank group. In the past three years smallcaps have outperformed the larger cap stocks, and they also outnumber them. This is also the main reason with mutual funds can't outperform the indeces. They simply cannot take advantage of smallcaps because if they equal weight the positions, they might end up owning too much of a single small company. ---------------------------------------- Portfolio123 Staff ---------------------------------------- [Edit 1 times, last edit by marco at May 15, 2004 4:48:42 PM] |
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Re: New "Value" Model Portfolios
