|
| Aviat Networks Inc | 181 | 32.7% | $61.33 | 331 | 341 |
| Cowen Inc | 83 | 7.4% | $33.85 | 750 | 907 |
| Charles & Colvard Ltd | 20 | 7.2% | $2.38 | 631 | 69 |
| Culp Inc. | 20 | 7.4% | $17.25 | 33 | 212 |
| EMCORE Corp | 20 | 8.1% | $6.79 | 1,339 | 202 |
| Full House Resorts Inc | 6 | 12.6% | $7.14 | 436 | 194 |
| Turtle Beach Corp | 202 | 10.3% | $29.90 | 515 | 454 |
| Kimball Electronics Inc | 20 | 7.2% | $23.48 | 130 | 586 |
| Limbach Holdings Inc | 104 | 7.4% | $12.28 | 179 | 97 |
|
|
| 2021-02-22 | BUY | FLL | Full House Resorts Inc | $7.82 |
| 2021-02-22 | SELL | NX | Quanex Building Products Corp | $24.71 |
| 2021-02-16 | SELL | GSL | Global Ship Lease Inc | $14.92 |
| 2021-02-08 | BUY | CULP | Culp Inc. | $16.69 |
| 2021-02-08 | BUY | KE | Kimball Electronics Inc | $24.66 |
| 2021-02-08 | BUY | EMKR | EMCORE Corp | $6.26 |
| 2021-02-08 | BUY | CTHR | Charles & Colvard Ltd | $2.44 |
| 2021-02-08 | SELL | RFP | Resolute Forest Products Inc | $8.18 |
| 2021-02-01 | SELL | FLL | Full House Resorts Inc | $6.42 |
| 2021-01-25 | BUY | NX | Quanex Building Products Corp | $24.83 |
| 2021-01-25 | SELL | GRBK | Green Brick Partners Inc | $20.96 |
| 2021-01-25 | SELL | AMRK | A-Mark Precious Metals Inc | $28.05 |
| 2021-01-11 | BUY | GSL | Global Ship Lease Inc | $14.49 |
| 2021-01-11 | SELL | SMTX | SMTC Corp | $5.90 |
| 2020-12-07 | BUY | RFP | Resolute Forest Products Inc | $6.16 |
| 2020-12-07 | BUY | COWN | Cowen Inc | $24.80 |
| 2020-12-07 | BUY | FLL | Full House Resorts Inc | $3.63 |
| 2020-12-07 | SELL | CLW | Clearwater Paper Corp | $36.16 |
| 2020-12-07 | SELL | DLHC | DLH Holdings Corp | $10.20 |
| 2020-12-07 | SELL | ZVO | Zovio Inc | $4.16 |
|
03 | 04 | 05 | 06 | 07 | 08 | 09 | 10 | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 |
| Model (%) |
101 | 97 | 71 | 93 | 41 | 2 | 15 | 79 | -3 | 36 | 79 | 50 | 12 | 34 | 25 | -16 | 17 | -3 | 32 |
| Benchmark (%) |
35 | 9 | 3 | 14 | 4 | -38 | 23 | 13 | -0 | 13 | 30 | 11 | -1 | 10 | 19 | -6 | 29 | 16 | 1 |
| Excess (%) |
66 | 88 | 68 | 80 | 38 | 40 | -8 | 66 | -3 | 23 | 49 | 39 | 12 | 24 | 6 | -10 | -12 | -19 | 30 |
| |
Model |
S&P 500 ($SP500) |
|
Model |
S&P 500 ($SP500) |
| Total Return |
31,872.38% |
363.65% |
|
25.96% |
38.88% |
| Annualized Return |
37.78% |
8.90% |
|
8.00% |
11.57% |
| Max Drawdown |
-55.22% |
-56.78% |
|
-55.22% |
-33.92% |
| Standard Deviation |
23.56% |
14.32% |
|
31.86% |
18.69% |
| Sharpe Ratio |
1.41 |
0.56 |
|
0.21 |
0.59 |
| Sortino Ratio |
2.00 |
0.74 |
|
0.26 |
0.78 |
| Correlation with S&P 500 ($SP500) |
0.56 |
- |
|
0.71 |
- |
| R-Squared |
0.32 |
- |
|
0.50 |
- |
| Beta |
0.92 |
- |
|
1.20 |
- |
| Alpha (annualized) |
28.95% |
- |
|
-6.57% |
- |
|
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) |
37.78% |
| Alpha |
28.95% |
| Rebalance Frequency |
Every Week |
| Last Rebalance |
02/22/21 |
| % Cash Invested |
100.33% |
| Average Days Held |
67 |
| Average Annual Turnover |
451.34 % |
| Average Return |
2.37% |
| Average Return Winners |
16.97% |
| Average Return Losers |
-11.62% |
| Winners |
56.32% |
|