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 (%) |
112 | 137 | 72 | 38 | 20 | 4 | 86 | 39 | -12 | 36 | 100 | 30 | 29 | 27 | 28 | -10 | 33 | 42 | 31 | 32 | 16 | 11 |
| Benchmark (%) |
35 | 9 | 3 | 14 | 4 | -38 | 23 | 13 | -0 | 13 | 30 | 11 | -1 | 10 | 19 | -6 | 29 | 16 | 27 | -19 | 24 | 6 |
| Excess (%) |
77 | 128 | 69 | 24 | 16 | 43 | 63 | 26 | -12 | 22 | 71 | 19 | 29 | 18 | 8 | -4 | 4 | 25 | 4 | 51 | -8 | 4 |
| |
Model |
|
|
Model |
|
| Total Return |
94,143.96% |
516.99% |
|
89.03% |
21.33% |
| Annualized Return |
38.22% |
8.98% |
|
23.65% |
6.66% |
| Max Drawdown |
-40.30% |
-56.78% |
|
-33.71% |
-25.43% |
| Standard Deviation |
24.20% |
14.76% |
|
24.00% |
17.64% |
| Sharpe Ratio |
1.41 |
0.56 |
|
0.95 |
0.36 |
| Sortino Ratio |
2.08 |
0.74 |
|
1.32 |
0.49 |
| Correlation with |
0.59 |
- |
|
0.54 |
- |
| R-Squared |
0.35 |
- |
|
0.29 |
- |
| Beta |
0.97 |
- |
|
0.74 |
- |
| Alpha (annualized) |
29.31% |
- |
|
19.73% |
- |
|
This system is inspired by William O'Neil and his CANSLIM trading system. It inlcudes buy rules that only allow the investor to purchase new holdings when an uptrend is probable. To lower volatility risk, this portfolio holds a preferred 20 stocks when market conditions warrant it.
| Annualized Return (CAGR) |
38.22% |
| Alpha |
29.31% |
| Rebalance Frequency |
Every Week |
| Last Rebalance |
04/22/24 |
| % Cash Invested |
99.89% |
| Average Days Held |
64 |
| Average Annual Turnover |
488.37 % |
| Average Return |
4.79% |
| Average Return Winners |
22.48% |
| Average Return Losers |
-11.05% |
| Winners |
51.28% |
|