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Author: OranjeMannetje One star, 50 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 2355  
Subject: Still beating the markets (2012.q2) Date: 7/10/2012 10:27 PM
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It's time for another quarterly update of my results using the Magic Formula Investing strategy. I follow the system and use a list randomizer to pick the stocks I'll buy each time from the MFI website. The returns (IRR) of my portfolio versus those of several Russell indexes through 30-Jun-2012 are as follows:
 
Portfolio Inception Date IRR R3000 R2000
Real Money 02-Feb-2006 +5.29% +3.17 +2.67

[Note: R3000 is the internal rate of return for the Russell3000® Index over the given time period. R2000 is the internal rate of return for the Russell 2000® Index over the given time period.]

My personal portfolio consists of four groups of 10 stocks each that were purchased and spaced out about 3 months apart. They are rebalanced/shuffled/changed out on their respective anniversaries and I do not continue holding stocks that are still on the list. I also have money that is professionally managed by Formula Investing; the IRR shown above is the combined returns of both portfolios.

I also have several portfolios that I maintain on Marketocracy as additional 'data points'. These were started on various dates using free data sources available from the internet. These portfolios are rebalanced annually near the date of inception with a small component left as cash to 'pay' expenses. The returns (IRR) of these portfolios versus those of several Russell indexes through 30-Jun-2012 are as follows:

Portfolio Inception Date IRR R3000 R2000
MFI 20-Mar-2006 +2.77 +2.89 +2.47
Fidelity 20-Mar-2006 -1.37 +2.89 +2.47
Yahoo 21-Mar-2006 +4.85 +2.92 +2.48
FinVis 30-Mar-2011 -10.20 +3.60 -1.61
Google 30-Mar-2011 -3.33 +3.60 -1.61

As you can see, only one portfolio currently is ahead of the markets and a second is ‘even’. Is this just an especially bad time to have been using the MFI strategy. Only time will tell.

At least the portfolio that really counts with my actual money is still doing well enough, thus I continue to remain committed to the Magic Formula. I'll try to post my results again at the end of each quarter.
regards,
j
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Author: EdG55 Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 2249 of 2355
Subject: Re: Still beating the markets (2012.q2) Date: 7/18/2012 12:39 PM
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Thanks for the update. I have just bought my second set of 10 this month and am just starting out using the MFI system.

Been a lot of volatility so far with the picks I already have from 3 months ago, but I am in it for the long haul.

Ed

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Author: Rayvt Big gold star, 5000 posts Top Favorite Fools Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 2250 of 2355
Subject: Re: Still beating the markets (2012.q2) Date: 7/18/2012 1:11 PM
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I came across a post just today which said in part:
"One thing I learned in the last 23 years I have been developing trading systems ... is not to trust any analysis, any analysis/backtesting program and any results published anywhere, even in the most prestigious journal. The only results I trust are those I derive myself using realistic assumptions and taking into account all the major factors that can influence the calculations. [Such as dividends and commissions.] -- Michael Harris "

This is, unfortunately, a case in point against Greenblatt and MFI. I can't duplicate his claimed results in the backtests I have run. Not it seems can anybody else.

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Author: ZiggyDawg Two stars, 250 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 2251 of 2355
Subject: Re: Still beating the markets (2012.q2) Date: 7/18/2012 6:41 PM
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This is, unfortunately, a case in point against Greenblatt and MFI. I can't duplicate his claimed results in the backtests I have run. Not it seems can anybody else.

But you do follow his profile in CAPS and you can see from the results there that TrackJGreenblatt's score is 761.39 which would put him in the 88th percentile amongst all CAPS players as well as handily beat the S&P.

YMMV though.

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