No. of Recommendations: 1

First, thanks to BlissAK for pointing to a zip source.

Efficient frontier should be decided for the whole portfolio and not just for a portion of your assets. ... One possible solution is to do eliminate some screens based on CAGR and Sharpe ratios, for example. Would it work and can your tool be modified to look at the whole portfolio?

I agree on the whole portfolio thought, but find it a little unmanageable to attack right now. So, I focused on quarterlies for now. I've looked at monthlies in a similar vein, but simply converged on PEG-O and RSO, which I'm already doing. (Although I have not looked at the full range of screens as choices, so I haven't posted anything.)

One reason for posting my work and especially my spreadsheet is to allow others to extend what I've done. And the best next step may not use anything I've built so far, but instead have someone read it and say "Oh yeah, that makes me think of doing it this other way ...". So, if you have some thoughts on following this approach for monthlies/quarterlies/annuals combined, I'd sure be interested in seeing the results of anything you come up with.

I suppose there could be a number of ways to limit the screens used in a final run to define an efficient frontier. Note that I did not include all possible screens in my quarterly analysis. But you never know if you're missing the one screen to make the perfect combination, even though that screen on its own doesn't look good (as for RS4 quarterly).

Also, what is your motivation to use more of 3 month screens vs. monthly and yearly screens?

Even in taxable accounts, I think the backtests show quarterlies and monthlies outperform annuals. That is, if I can get 40% (backtested) in a quarterly, that will beat, after taxes in my situation, an annual making 30%. (Note: I tend to use 86-94 backtested returns to set my expecations, thus the percentages shown.)

I'm mostly using monthlies as my "non-annuals" right now. I'd like to spread my taxable portfolio more evenly between monthlies, quarterlies and annuals, not knowing which will be best in the future. For my IRA, I will probably have a mix of monthlies and quarterlies only. Oh yeah, and options.

Autocorrelation for all the screens needs to be determined, IMO. This will tell us what is the appropriate look back period for the creation of efficient frontier. ... RS type screens have done extremely well for the last few years and one would like to start capturing this outperformance as soon as possible.

I don't follow the autocorrelation argument, so perhaps you could explain or demonstrate somehow. As for using only recent performance to guide my investment, it comes down to what we believe and our preferences. I don't find this convincing, but hold nothing against those who do. So feel free to perform the analyses that way, and to share your work. I think there are quite a few members of the board who would be interested.


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