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Author: FLARAM Big red star, 1000 posts 10+ Year Anniversary! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 254197  
Subject: Re: performance of screens Date: 2/13/2013 11:43 AM
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Dr Bob's results of choosing VL screens based on past 12 mo performance doesn't come up
with the same results I do using a smaller set of SIP screens. I find that the past 12 months
performance 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 based
on choosing from a list of screens that had already been chosen as much better than average
screens 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 month
period, 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 and
9 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
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