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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 20304  
Subject: Re: WWJGII Date: 11/18/2012 10:43 AM
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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.

Matthew
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