Message Font: Serif | Sans-Serif
UnThreaded | Threaded | Whole Thread (10) | Ignore Thread Prev | Next
Author: MrTompkins Two stars, 250 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 24638  
Subject: Re: WWJGII Date: 11/18/2012 10:43 AM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 2
Hey bob,

The mechanical nature is pulling data and creating a repeatable process. To be clear this is still a fundamental valuation process that is trying to emulate a low vol, high qual, value strategy. Currently I can screen for ~48 names that sit in both the S&P500 low vol index and the S&P500 high quality index. GMO has a high quality fund that has 13 of these holdings and a fair amount of others as well. My goal is to take the smallish pool of 48 names -- and be able to rank them in order of attractiveness so that I could create a portfolio of 25 names that are likely to outperform the SP500 both on an absolute and risk-adjusted basis. But at the end of the day its still a judgement call. From a portfolio manager perspective -- consider this a portfolio that is 100% invested at all times -- so no market calls or shifts to cash.

There isn't any backtesting or mechanical rules like using a 10-Month Moving Average or relative momentum screen. Hopefully this portfolio could sit in an open brokerage account and with little turnover be an attractive long-term port with tax efficiencies etc.

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post  
UnThreaded | Threaded | Whole Thread (10) | Ignore Thread Prev | Next


What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
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.
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 Glassdoor #1 Company to Work For 2015! 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.