Holdings protected for Charter members only
|
03 | 04 | 05 | 06 | 07 | 08 | 09 | 10 | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 | 22 | 23 | 24 |
| Model (%) |
101 | 97 | 71 | 93 | 41 | 2 | 15 | 79 | -3 | 36 | 79 | 50 | 12 | 34 | 25 | -16 | 17 | -3 | 96 | -31 | 28 | -10 |
| Benchmark (%) |
35 | 9 | 3 | 14 | 4 | -38 | 23 | 13 | -0 | 13 | 30 | 11 | -1 | 10 | 19 | -6 | 29 | 16 | 27 | -19 | 24 | 6 |
| Excess (%) |
66 | 88 | 68 | 80 | 38 | 40 | -8 | 66 | -3 | 23 | 49 | 39 | 12 | 24 | 6 | -10 | -12 | -19 | 69 | -11 | 4 | -16 |
| |
Model |
|
|
Model |
|
| Total Return |
37,769.97% |
514.17% |
|
-2.57% |
20.56% |
| Annualized Return |
32.39% |
8.96% |
|
-0.86% |
6.43% |
| Max Drawdown |
-55.22% |
-56.78% |
|
-47.08% |
-25.43% |
| Standard Deviation |
24.50% |
14.76% |
|
27.10% |
17.64% |
| Sharpe Ratio |
1.24 |
0.56 |
|
0.09 |
0.36 |
| Sortino Ratio |
1.75 |
0.74 |
|
0.13 |
0.49 |
| Correlation with |
0.56 |
- |
|
0.59 |
- |
| R-Squared |
0.32 |
- |
|
0.35 |
- |
| Beta |
0.93 |
- |
|
0.91 |
- |
| Alpha (annualized) |
25.11% |
- |
|
-3.29% |
- |
|
This is a high octane system that prefers smallcaps with a big upside based on analyst revisions. It has minimum liquidity constrains where each stock must have at least $200,000 of daily turnover to be purchased. Smaller stocks are preferred to give an additional upside boost from volatility, although the market cap must be at least 50 million. There is some market-timing on the buy side - the market must be in a fundamental or technical short-term uptrend before purchasing new holdings is allowed.
An optimum of 10 stocks are held in this portfolio.
| Annualized Return (CAGR) |
32.39% |
| Alpha |
25.11% |
| Rebalance Frequency |
Every Week |
| Last Rebalance |
04/22/24 |
| % Cash Invested |
100.03% |
| Average Days Held |
67 |
| Average Annual Turnover |
460.83 % |
| Average Return |
2.30% |
| Average Return Winners |
18.60% |
| Average Return Losers |
-13.09% |
| Winners |
55.00% |
|