UnThreaded | Threaded | Whole Thread (23) | Ignore Thread Prev | Next
Author: JimZipCode Big funky green star, 20000 posts Feste Award Nominee! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 253120  
Subject: Re: Interesting Metric Date: 6/9/2003 12:20 PM
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Recommendations: 6
For me this simple variant has a lot more appeal:
Timeliness 1-2
Divd Yield * Earnings Yield Trail 12 Mo top 5
http://www.backtest.org/SB97030101T12XdyldMeytaT5


The linked screen is a monthly. It has interesting properties as a blender. Note that its CAGR as a quarterly isn't spectacular, 17%. But look what happens when you blend it with CAPRS:

Screen CAPRS Blend

1997 8 23 16
1998 21 171 96
1999 -25 206 90
2000 47 0 23
2001 74 -46 14
2002 -2 -25 -14
2003 23 14 19

CAGR 17 25 30
GSD 23 56 30
Sharpe 0.68 0.62 0.93

Gotta love negative correlation.

http://www.backtest.org/BL97030103cr1t0315SBT12XdyldMeytaT5U1t03

CAGR GSD Sharpe

Jan 30 30 0.93
Feb 26 31 0.85
Mar 23 29 0.79
avg 26.3 30.0 0.86

Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Print the post  
UnThreaded | Threaded | Whole Thread (23) | Ignore Thread Prev | Next

Announcements

Pencils of Promise - Back to School Drive
"Pencils of Promise works with communities across the globe to build schools and create programs that provide education opportunities for children."
Managing Your Wealth
Our own TMFHockeypop from Rule Your Retirement fame on the TV show Managing Your Wealth.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
Community Home
Speak Your Mind, Start Your Blog, Rate Your Stocks

Community Team Fools - who are those TMF's?
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and "#1 Media Company to Work For" (BusinessInsider 2011)! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.
Advertisement