Monday, October 15, 2018

How Are MFI Tracking Portfolios Doing Through Selloff?

How Are MFI Tracking Portfolios Doing Through Selloff?

Volatility seems to be making a comeback. Stocks bouncing up and down in a bit of a tug of war.  I guess my expectations are more likely down than up for next two weeks.  That expectation should be worth nothing as my ability to gauge markets could be beaten by a chimp tossing a coin.

I thought it might be interesting (in a scientific way) to see how my 12 open MFI Tracking portfolios are doing since we last looked in on them near the end of September.  As a reminder, here is how they looked:

10/27/2017 20.8% 14.6% 1
11/24/2017 16.1% 13.3% 1
12/29/2017 14.9% 10.3% 1
1/26/2018 2.9% 3.1% 0
2/23/2018 6.5% 7.4% 0
3/29/2018 8.5% 11.1% 0
4/27/2018 4.4% 9.9% 0
5/25/2018 4.1% 7.3% 0
6/29/2018 0.7% 7.1% 0
7/27/2018 2.6% 3.6% 0
8/31/2018 -1.2% 0.2% 0


2nd column is their performance and third column is benchmark performance.  If we assume the 9/28 portfolio is at 0 last month, the 12 open portfolios were up an average of 6.7% vs 7.3% for benchmark.  So trailing by 60 basis points.  Now, let us roll forward to today.

Hmm, a bit harder than I expected.  TRNC has changed name to TPCO.  SYNT has disappeared, I guess they were bought.

10/27/2017 15.8% 7.8% 1
11/24/2017 12.1% 6.6% 1
12/29/2017 11.6% 3.7% 1
1/26/2018 -0.5% -3.0% 1
2/23/2018 1.4% 1.1% 1
3/29/2018 3.5% 4.5% 0
4/27/2018 -0.2% 3.4% 0
5/25/2018 -0.1% 0.9% 0
6/29/2018 -4.4% 0.7% 0
7/27/2018 -2.2% -2.6% 1
8/31/2018 -5.6% -5.8% 1
9/28/2018 -5.2% -5.9% 1
 

Now the 12 open are up 2.2% (so a 4.5 point decline). But the 12 benchmarks are up just 1.0% ( a 6.3 point decline).  So we have "gained" 1.8 points since we last looked 9/28.

Top 200 List - 10/14/2018

Top 200 List - 10/14/2018

Thought I'd crank out a top 200 list as I approach time for a new Select tranche. Shane Kelly (thanks Shane) helped me figure out why my top 200 wasn't working (Fidelity changed from http to https).

This is my version of the official magic formula screener from Joel Greenblatt's book.  I believe I come very close to matching the actual calculations.  When I first developed this, the official screen gave more earnings yield and ROIC data - so that is a large reason for confidence.

The formula details can be found in my blog post "The Calculation" if you want to see more.  I had a lot of help developing it from people on the Yahoo MFI board back in the day.  Also Randy Harmelink, of SMF fame, helped me automate workbook once the formulae were all working well.

I do give more info than official site.  I use Fidelity for data source and they use Compustat, so that matches what official website uses.  I do provide earnings yield and ROIC.  I also typically have more names as I do not throw out as many non-US firms and I keep some insurers and investment firms.


Ticker Rank  Stock Price  Market Cap Earnings Yield ROIC Dividend Yield
OPHT 1            2.32               84 6308% 34517% 0.00%
FNJN 2            4.09            135 55% 20682% 0.00%
NHTC 3         21.67            245 26% 3644% 2.49%
IMMR 4            9.68            296 27% 1685% 0.00%
XOMA 5         15.30            128 18% 9469% 0.00%
PTN 6            0.90            190 16% 12963% 0.00%
EVC 7            4.48            403 60% 296% 4.45%
ACOR 8         17.68            835 20% 377% 0.00%
AGX 9         41.18            645 19% 331% 3.64%
UIS 10         18.75            964 23% 235% 0.00%
IDCC 11         71.60         2,551 13% 2233% 1.96%
ICON 12            0.23               15 17% 262% 0.00%
NKTR 13         48.91         8,916 13% 2098% 0.00%
QTRH 14            1.25            148 25% 173% 3.12%
CJREF 15            3.17            661 17% 201% #VALUE!
CMCM 16            8.65         1,256 12% 808% 0.00%
DLX 17         50.95         2,434 12% 479% 2.35%
HRB 18         25.69         5,335 13% 333% 3.81%
UTHR 19       123.11         5,343 23% 145% 0.00%
CALL 20            7.28            118 12% 525% 0.00%
QIWI 21         12.12            736 12% 432% 0.00%
BPT 22         36.41            779 11% 42889% 13.48%
AEIS 23         46.58         1,845 16% 158% 0.00%
BPI 24            9.45            258 13% 188% 0.00%
MSB 25         30.55            401 11% 472% #VALUE!
YY 26         73.02         4,662 13% 205% 0.00%
LEXEA 27         41.66         2,375 16% 126% 0.00%
EGY 28            2.40            144 18% 118% 0.00%
SRNE 29            3.59            361 12% 219% 0.00%
DHX 30            1.81               88 16% 115% 0.00%
FTSI 31         12.21         1,335 25% 97% 0.00%
MOH 32       139.54         9,307 11% 329% 0.00%
SQBG 33            1.46               93 13% 154% 0.00%
EGOV 34         14.16            943 10% 392% 2.26%
GILD 35         73.59       96,256 11% 297% 3.03%
CRTO 36         22.33         1,507 16% 111% 0.00%
PERI 37            2.84               73 19% 98% 0.00%
MSGN 38         24.86         1,883 11% 278% 0.00%
AMAT 39         33.69       33,858 14% 121% 1.78%
ESIO 40         15.71            564 26% 86% 0.00%
LRCX 41       143.61       25,194 14% 117% 2.23%
SJT 42            5.48            255 10% 492% 12.43%
INVA 43         14.62         1,658 10% 329% 0.00%
KLAC 44         93.19       14,614 11% 203% 2.88%
CASA 45         13.69         1,285 11% 224% 0.00%
WU 46         17.91         8,231 10% 453% 4.16%
PETS 47         27.74            567 11% 164% 3.50%
TUP 48         30.09         1,526 15% 95% 9.04%
WDC 49         54.41       16,704 17% 87% 3.68%
VIAB 50         31.39       12,660 12% 121% 2.55%
TGS 51         13.76         2,186 15% 93% 3.76%
OMC 52         68.60       15,648 10% 284% 3.50%
VIA 53         34.41       13,878 12% 121% 2.32%
TVTY 54         31.72         1,373 9% 1011% 0.00%
THO 55         80.47         4,255 16% 78% 1.84%
UEPS 56            6.93            394 20% 71% 0.00%
LEE 57            2.74            154 14% 85% 0.00%
NLS 58         12.89            393 12% 107% 0.00%
VEC 59         29.98            341 12% 106% 0.00%
PFMT 60            1.93            100 17% 69% 0.00%
IPG 61         21.43         8,347 10% 166% 3.78%
KLIC 62         21.25         1,494 21% 64% 1.13%
GPP 63         14.75            469 11% 126% 12.75%
ZAGG 64         13.29            381 14% 80% 0.00%
BKE 65         19.81            963 18% 65% 5.05%
TPR 66         43.82            143 69% 63% 0.00%
HPQ 67         23.67       38,298 9% 202% 2.35%
PBT 68            7.73            360 8% 14752% 8.49%
GME 69         14.80         1,511 22% 61% 10.27%
SGH 70         32.72            761 18% 62% 0.00%
AMCX 71         57.93         3,382 12% 84% 0.00%
ESRX 72         94.29       53,321 8% 1111% 0.00%
SP 73         32.92            745 9% 295% 0.00%
HSII 74         29.39            568 10% 114% 1.85%
MKSI 75         74.85         4,137 13% 73% 1.02%
SHI 76         48.98         5,302 30% 56% 9.72%
CO 77            6.67            742 36% 56% 1.20%
NVMI 78         24.21            696 11% 103% 0.00%
HCC 79         27.89         1,480 24% 56% 0.72%
STX 80         42.99       12,596 11% 96% 0.00%
MAN 81         75.46         4,988 16% 59% 2.57%
LEA 82       134.23         8,954 18% 58% 1.94%
WGO 83         31.24            992 13% 68% 1.28%
ALSN 84         49.14         6,634 9% 152% 1.22%
JILL 85            5.56            249 16% 59% 0.00%
MTOR 86         17.52         1,573 15% 60% 0.00%
LPX 87         22.59         3,303 25% 53% 1.73%
MCFT 88         32.80            613 8% 262% 0.00%
LFVN 89         10.58            150 9% 173% 0.00%
TARO 90         95.65         3,755 12% 69% 0.00%
ICHR 91         18.24            476 14% 62% 0.00%
AVP 92            1.87            827 15% 59% 0.00%
DNB 93       142.21         5,290 8% 1485% 1.46%
TGNA 94         11.22         2,429 10% 98% 2.50%
MIK 95         16.09         2,867 12% 69% 0.00%
PNR 96         39.00         6,965 9% 140% 3.13%
CVS 97         74.58       75,922 11% 84% 2.68%
VGR 98         12.77         1,783 8% 254% 12.08%
TSQ 99            7.30            202 12% 67% 3.07%
MO 100         60.06    113,573 8% 516% 4.76%
ENTA 101         74.69         1,570 8% 177% 0.00%
DFIN 102         15.94            542 11% 68% 0.00%
FUJHY 103         14.46       22,174 20% 49% 4.47%
BBY 104         72.45       20,554 10% 82% 2.33%
GNTX 105         18.99         5,206 11% 67% 2.26%
SDI 106         15.84            263 11% 69% 0.00%
TUSK 107         27.80         1,253 23% 44% 0.45%
OSB 108         27.27         2,378 27% 43% 17.68%
NANO 109         31.50            770 11% 61% 0.00%
HUM 110       318.35       44,116 8% 197% 0.60%
STRL 111         12.73            345 14% 52% 0.00%
BIIB 112       330.90       68,596 8% 128% 0.00%
MD 113         44.37         4,150 8% 146% 0.00%
PBH 114         37.42         1,981 8% 165% 0.00%
SNE 115         55.51       71,910 9% 104% 0.45%
CBS 116         54.32       20,696 10% 78% 0.00%
EME 117         68.94         4,045 10% 76% 0.46%
GENC 118         11.41            168 20% 43% 0.00%
ATLKY 119         25.72       31,260 8% 131% 6.64%
AMGN 120       197.39    130,277 8% 162% 2.59%
KRO 121         15.62         1,810 24% 41% 4.23%
PBI 122            6.69         1,258 10% 66% 11.21%
AET 123       201.01       66,293 7% 890% 0.99%
NCR 124         24.75         2,918 10% 66% 0.00%
UCTT 125         11.00            432 28% 39% 0.00%
YUM 126         88.05       29,145 8% 190% 1.57%
KFY 127         44.92         2,488 9% 80% 0.89%
ASYS 128            4.64               70 82% 38% 0.00%
FL 129         49.70         5,820 15% 44% 2.64%
SEDG 130         39.39         1,902 9% 79% 0.00%
LB 131         31.38         8,755 12% 53% 7.65%
SYX 132         28.77         1,090 8% 102% 1.49%
SBH 133         18.02         2,193 12% 52% 0.00%
CKHUY 134         10.34       39,888 14% 45% 3.62%
NTRI 135         37.10         1,101 7% 229% 2.49%
ODP 136            2.82         1,593 14% 43% 3.55%
SWKS 137         87.21       15,942 9% 74% 1.54%
CRT 138         14.45               87 9% 89% 9.18%
KNMCY 139         40.06         5,501 10% 63% 1.52%
PM 140         82.31    127,992 8% 159% 5.37%
ANTM 141       271.41       71,788 7% 231% 1.09%
SBR 142         40.40            589 7% 19712% 24.04%
VVV 143         19.64         3,849 9% 69% 1.52%
ORCL 144         47.38    189,473 7% 238% 1.60%
CERC 145            4.62            149 7% 5551% 0.00%
APEI 146         28.60            476 13% 45% 0.00%
MCK 147       130.79       26,420 8% 87% 1.08%
ABC 148         88.48       19,533 8% 102% 1.72%
KORS 149         63.61         9,694 8% 84% 0.00%
GIB 150         60.28       17,333 7% 256% 0.00%
CLCT 151         14.52            127 8% 114% 6.03%
ATEYY 152         19.09         3,788 11% 49% 1.51%
VC 153         81.70         2,443 11% 49% 0.00%
AYI 154       122.77         4,923 9% 68% 0.42%
TNET 155         48.51         3,520 7% 326% 0.00%
GPS 156         26.67       10,401 14% 40% 0.00%
ITRN 157         32.80            688 9% 77% 2.93%
MMS 158         62.17         4,099 8% 93% 0.29%
KBAL 159         15.68            584 10% 57% 1.85%
ABBV 160         90.69    142,565 7% 427% 3.96%
COHR 161       132.57         3,298 12% 44% 0.00%
USNA 162       108.00         2,683 7% 177% 0.00%
CELG 163         82.58       60,498 7% 304% 0.00%
MGLN 164         67.31         1,710 8% 81% 0.00%
EXEL 165         16.24         5,071 7% 213% 0.00%
BTI 166         43.27       99,132 7% 160% 6.06%
ALV 167         80.10         7,001 12% 44% 3.05%
IPGP 168       137.58         7,566 9% 59% 0.00%
CDK 169         56.61         7,495 7% 329% 1.06%
LCI 170            4.03            150 20% 35% 0.00%
CSVI 171         50.25            700 7% 120% 2.57%
HOLI 172         18.78         1,151 16% 36% 0.64%
CRUS 173         35.29         2,169 11% 49% 0.00%
RTEC 174         19.98            648 13% 40% 0.00%
EBF 175         18.82            483 11% 46% 4.52%
YRD 176         16.10            995 28% 32% 1.74%
NVO 177         42.53    103,386 7% 125% 2.98%
XRX 178         25.22         6,505 11% 47% 3.97%
CC 179         36.40         6,691 15% 37% 1.70%
DLPH 180         23.34         2,078 18% 34% 0.00%
MEI 181         28.87         1,087 14% 37% 1.53%
JCOM 182         72.69         3,578 7% 310% 2.26%
NVR 183   2,246.00         9,303 10% 49% 0.00%
NLSN 184         26.15         9,319 7% 145% 5.28%
GHC 185       574.14         3,079 8% 83% 0.92%
VHI 186            2.12            725 19% 33% 3.77%
PPC 187         16.96         4,224 15% 35% 0.00%
JOUT 188         76.03            760 10% 49% 0.63%
AMN 189         50.25         2,459 7% 99% 0.00%
MAS 190         32.29         9,978 9% 57% 1.35%
TER 191         33.25         6,481 8% 80% 1.02%
IMBBY 192         33.10       31,511 7% 136% 7.19%
BGSF 193         23.32            222 8% 74% 4.72%
REGI 194         26.96         1,134 20% 31% 0.00%
WNC 195         13.56            804 12% 39% 2.21%
LYB 196         97.50       38,220 13% 36% 4.00%
TLYS 197         16.70            496 10% 47% 0.00%
SERV 198         43.38         5,891 7% 231% 0.00%
CSCO 199         45.71    215,843 6% 425% 2.80%
SGU 200            9.77            527 10% 51% 4.66%


Then here is official top 50 and where each stock appears on my top 200:


Ticker Mkt Cap Date My Ranking Price EY ROIC
ACOR 834 12-Oct 8        17.68 20% 377%
AEIS 1,828 12-Oct 23        46.58 16% 158%
AMCX 3,298 12-Oct 71        57.93 12% 84%
AMAT 33,117 12-Oct 39        33.69 14% 121%
AGX 641 12-Oct 9        41.18 19% 331%
HRB 5,280 12-Oct 18        25.69 13% 333%
BPT 779 12-Oct 22        36.41 11% 42889%
BKE 971 12-Oct 65        19.81 18% 65%
CASA 1,180 12-Oct 45        13.69 11% 224%
CJREF 659 12-Oct 15          3.17 17% 201%
DLX 2,426 12-Oct 17        50.95 12% 479%
ESIO 542 12-Oct 40        15.71 26% 86%
EVC 398 12-Oct 7          4.48 60% 296%
ESRX 53,000 12-Oct 72        94.29 8% 1111%
FTSI 1,335 12-Oct 31        12.21 25% 97%
GME 1,508 12-Oct 69        14.80 22% 61%
GILD 95,373 12-Oct 35        73.59 11% 297%
HSII 557 12-Oct 74        29.39 10% 114%
HPQ 37,456 12-Oct 67        23.67 9% 202%
IMMR 298 12-Oct 4          9.68 27% 1685%
INVA 1,658 12-Oct 43        14.62 10% 329%
IDCC 2,492 12-Oct 11        71.60 13% 2233%
IPG 8,225 12-Oct 61        21.43 10% 166%
KLAC 14,542 12-Oct 44        93.19 11% 203%
LRCX 23,947 12-Oct 41      143.61 14% 117%
LEE 156 12-Oct 57          2.74 14% 85%
MCFT 613 12-Oct 88        32.80 8% 262%
MSB 401 12-Oct 25        30.55 11% 472%
MKSI 4,101 12-Oct 75        74.85 13% 73%
MSGN 1,855 12-Oct 38        24.86 11% 278%
NHTC 247 12-Oct 3        21.67 26% 3644%
NLS 390 12-Oct 58        12.89 12% 107%
NKTR 8,433 12-Oct 13        48.91 13% 2098%
EGOV 942 12-Oct 34        14.16 10% 392%
OMC 15,392 12-Oct 52        68.60 10% 284%
PTN 181 12-Oct 6          0.90 16% 12963%
PETS 571 12-Oct 47        27.74 11% 164%
STX 12,345 12-Oct 80        42.99 11% 96%
SRNE 417 12-Oct 29          3.59 12% 219%
SP 736 12-Oct 73        32.92 9% 295%
THO 4,240 12-Oct 55        80.47 16% 78%
TVTY 1,268 12-Oct 54        31.72 9% 1011%
TUP 1,505 12-Oct 48        30.09 15% 95%
UIS 958 12-Oct 10        18.75 23% 235%
UTHR 5,788 12-Oct 19      123.11 23% 145%
EGY 143 12-Oct 28          2.40 18% 118%
VEC 337 12-Oct 59        29.98 12% 106%
VIAB 12,653 12-Oct 50        31.39 12% 121%
WDC 16,105 12-Oct 49        54.41 17% 87%
ZAGG 374 12-Oct 64        13.29 14% 80%

So that is outstanding.  All 50 official stocks are within my top 88.