Dr Bob's results of choosing VL screens based on past 12 mo performance doesn't come upwith the same results I do using a smaller set of SIP screens. I find that the past 12 monthsperformance has some predictive value for next Month's gain. But only about a 7 to 10%advantage over picking randomly.I should also point out that my posts on the advantages of using a 9 Month WWL was basedon choosing from a list of screens that had already been chosen as much better than averagescreens to start with.(although once chosen I kept them in the selection pool even if they tanked post discovery) They had all continued to have value with at least a hold 10, and 2 monthperiod, better than average Sharpe. In fact a random selection from those screens would have given a CAGR of 35. So using a selection based on a combination of long term CAGR, GSD and9 Month CAGR and GSD in this case seems to add another 5 to 10% and reduce the GSD a little.The point is that I think 90% of the effort should be in the initial selection of screens.For the same rational Zee's SIP based gold screens continue to hold up post discovery.RAM
Best Of |
Favorites & Replies |
Start a New Board |
My Fool |
BATS data provided in real-time. NYSE, NASDAQ and NYSEMKT data delayed 15 minutes.
Real-Time prices provided by BATS. Market data provided by Interactive Data.
Company fundamental data provided by Morningstar. Earnings Estimates, Analyst Ra