Saturday, August 29, 2009

Mechanical Part Deux

I was thinking about my mechanical portfolio approach, which "buys a stock" when it is new to either the top 30 or top 50 list. One problem with that approach is that I only started tracking it back in January 2008. I started to think and I discovered a way to take it back another year, not in a perfect way, but in a reasonable facsimile.

What I did today was looked at my monthly tracking portfolios, which I pull each month and track for a year the top 50 stocks greater than 100m. I took the tracking portfolios starting in January 2007 (a year into the tracking) and considered a stock "new" if it had not been in my tracking portfolios the prior 12 months. Here is a list of how the stocks have done:

Date Stats
1/26/2007 CREL $13.51 $7.97 -41.0%
1/26/2007 SHOO $30.93 $15.70 -49.2%
1/26/2007 TGB $2.58 $3.82 48.1%
1/26/2007 USMO $16.84 $11.82 -29.8%
2/27/2007 AVCI $6.79 $7.31 7.7%
2/27/2007 AXCA $15.92 $23.34 46.6%
2/27/2007 BWLRF.PK$1.63 $1.45 -11.0%
2/27/2007 MFB $18.20 $12.71 -30.2%
2/27/2007 DGX $50.57 $48.43 -4.2%
3/26/2007 ALOY $11.70 $7.65 -34.6%
3/26/2007 IVAC $27.94 $13.82 -50.5%
4/27/2007 ENDP $31.40 $24.80 -21.0%
4/27/2007 FCGI $10.07 $12.99 29.0%
4/27/2007 FTAR.OB $3.87 $5.10 31.8%
4/27/2007 GNI $101.99 $116.50 14.2%
4/27/2007 PDII $9.21 $8.65 -6.1%
4/27/2007 VGR $17.06 $17.23 1.0%
5/29/2007 AMAT $19.03 $19.54 2.7%
5/29/2007 BPT $58.42 $95.76 63.9%
5/29/2007 CHCG.OB $5.74 $1.63 -71.6%
5/29/2007 HURC $47.0 $35.83 -23.8%
5/29/2007 LXK $52.46 $36.54 -30.3%
5/29/2007 SCSS $17.88 $2.67 -85.1%
5/29/2007 SUPX $31.93 $25.60 -19.8%
5/29/2007 TZOO $26.05 $10.64 -59.2%
5/29/2007 UTMD $31.32 $30.25 -3.4%
5/29/2007 WDC $17.98 $36.74 104.3%
7/3/2007 DPZ $18.43 $10.59 -42.5%
7/3/2007 GLBL $27.02 $16.58 -38.6%
7/3/2007 HBMFF.PK$25.29 $13.93 -44.9%
7/3/2007 ICFI $20.71 $16.16 -22.0%
7/3/2007 PBT $11.72 $25.46 117.2%
7/30/2007 ARDNA $126.23 $146.29 15.9%
7/30/2007 HLYS $22.04 $4.75 -78.4%
7/30/2007 MSTR $75.25 $60.11 -20.1%
7/30/2007 SIMG $6.99 $7.40 5.9%
7/30/2007 TBV $3.66 $.95 -74.0%
7/30/2007 WMCO $16.86 $12.39 -26.5%
7/30/2007 BEBE $13.96 $10.22 -26.8%
8/30/2007 GIB $10.48 $10.71 2.2%
8/30/2007 PLTE $20.86 $23.46 12.5%
8/30/2007 FRX $37.59 $35.71 -5.0%
8/30/2007 GYI $31.07 $33.98 9.4%
8/30/2007 MVL $22.44 $33.82 50.7%
8/30/2007 RDYN $6.75 $1.24 -81.6%
8/30/2007 TRB $27.13 $33.98 25.2%
9/27/2007 ARO 66.8%
9/27/2007 ARP $19.01 $17.01 -10.5%
9/27/2007 ABC $44.37 $38.29 -13.7%
9/27/2007 BVSN.OB $2.20 $.69 -68.6%
9/27/2007 HOG $45.39 $40.04 -11.8%
9/27/2007 SAI $18.93 $20.10 6.2%
9/27/2007 HGG $11.39 $9.83 -13.7%
11/2/2007 AMSG $25.66 $24.94 -2.8%
11/2/2007 CUTR $20.75 $8.51 -59.0%
11/2/2007 IAR $23.02 $.38 -98.3%
11/2/2007 LCAV $15.08 $3.42 -77.3%
11/2/2007 MASI $31.89 $31.99 .3%
11/2/2007 MHP $45.50 $26.86 -41.0%
11/2/2007 PMTI $23.95 $11.44 -52.2%
11/2/2007 TRID $6.84 $1.81 -73.5%
11/28/2007 CITP $13.07 $3.13 -76.1%
11/28/2007 CSGS $16.62 $16.33 -1.7%
11/28/2007 PCR $53.65 $17.58 -67.2%
11/28/2007 RHI $25.29 $20.16 -20.3%
12/28/2007 EPAX $17.82 $9.25 -48.1%
12/28/2007 DTPI $6.63 $4.24 -36.0%
12/28/2007 HTRN $4.51 $2.37 -47.5%
12/28/2007 NOVA $4.28 $3.48 -18.7%
1/25/2008 CAST $5.80 $2.59 -55.3%
1/25/2008 LOJN $11.01 $4.16 -62.2%
1/25/2008 LGTY $9.61 $4.50 -53.2%
1/25/2008 PRXI $5.60 $1.04 -81.4%
1/25/2008 SLXP $6.66 $7.96 19.5%
1/25/2008 JCOM $18.97 $18.12 -4.5%
2/26/2008 AFCE $8.14 $3.92 -51.8%
2/26/2008 AIRV $5.0 $5.52 10.4%
2/26/2008 CJR $20.93 $9.58 -54.2%
2/26/2008 GHM $18.68 $7.61 -59.3%
2/26/2008 MMS $37.17 $34.13 -8.2%
2/26/2008 MDP $45.07 $11.28 -75.0%
2/26/2008 NVTL $11.39 $5.75 -49.5%
2/26/2008 RECN $17.13 $13.02 -24.0%
2/26/2008 IUSA $7.84 $2.61 -66.7%
3/24/2008 DEPO $3.0 $2.68 -10.7%
3/24/2008 ELNK $7.93 $6.82 -14.0%
3/24/2008 HIRE $10.58 $19.75 86.7%
3/24/2008 LNCR $28.12 $22.29 -20.7%
3/24/2008 MRX $19.68 $13.06 -33.6%
3/24/2008 OMPI $9.35 $6.06 -35.2%
3/24/2008 BID $29.23 $10.20 -65.1%
3/24/2008 TSRA $15.02 $12.80 -14.8%
3/24/2008 TBI $14.24 $9.05 -36.4%
4/25/2008 AMSWA $5.83 $5.63 -3.4%
4/25/2008 CHE $32.56 $40.91 25.6%
4/25/2008 CHRD $4.82 $3.27 -32.2%
4/25/2008 IDAR.PK $3.59 $.08 -97.7%
4/25/2008 NTRI $18.56 $14.67 -21.0%
4/25/2008 QXM $6.46 $2.73 -57.8%
4/25/2008 SOAP $6.98 $3.68 -47.3%
4/25/2008 TRA $41.34 $27.90 -32.5%
5/28/2008 FTAR.OB $1.24 $.90 -27.4%
5/28/2008 MLHR $23.75 $14.23 -40.1%
5/28/2008 QCOR $5.22 $4.26 -18.4%
5/28/2008 VGR $15.04 $14.65 -2.6%
7/2/2008 AYI $39.91 $28.05 -29.7%
7/2/2008 CALM $30.28 $24.96 -17.6%
7/2/2008 CSKI $11.20 $13.48 20.4%
7/2/2008 PROJ $6.82 $4.34 -36.4%
7/2/2008 HHS $10.50 $9.25 -11.9%
7/2/2008 LRCX $36.46 $26.0 -28.7%
7/2/2008 tpc $27.95 $17.36 -37.9%
7/2/2008 SWIR $13.80 $5.72 -58.6%
7/2/2008 SIGM $14.43 $16.04 11.2%
7/2/2008 SNCR $8.58 $12.27 43.0%
7/2/2008 USNA $26.65 $29.73 11.6%
7/29/2008 APKT $4.92 $10.11 105.5%
7/29/2008 CF $151.81 $79.35 -47.7%
7/29/2008 COH $25.93 $28.05 8.2%
7/29/2008 DBTK $9.96 $8.65 -13.2%
7/29/2008 ZINC $12.04 $10.32 -14.3%
7/29/2008 LO $66.11 $72.0 8.9%
7/29/2008 NVDA $11.65 $13.04 11.9%
7/29/2008 SHFK.PK $27.50 $14.50 -47.3%
7/29/2008 VCLK $11.30 $11.61 2.7%
7/29/2008 VIA-B $29.66 $23.75 -19.9%
7/29/2008 IBAS $3.95 $1.89 -52.2%
8/29/2008 BARE $12.44 $9.56 -23.2%
8/29/2008 EME $34.07 $24.03 -29.5%
8/29/2008 MTW $24.83 $6.71 -73.0%
8/29/2008 PRM $2.60 $2.69 3.5%
8/29/2008 SPSS $31.58 $49.83 57.8%
8/29/2008 SCMP $9.50 $5.92 -37.7%
9/26/2008 EGN $46.31 $43.33 -6.4%
9/26/2008 KBR $16.04 $23.51 46.6%
9/26/2008 KHD $21.80 $9.78 -55.1%
9/26/2008 WFR $29.17 $16.55 -43.3%
9/26/2008 MLNX $9.53 $14.28 49.8%
9/26/2008 MNST $16.68 $16.36 -1.9%
9/26/2008 TTWO $16.16 $10.43 -35.5%
10/31/2008 BKE $25.79 $27.07 5.0%
10/31/2008 CTCM $7.40 $14.01 89.3%
10/31/2008 FWLT $27.40 $29.71 8.4%
10/31/2008 GRMN $21.46 $32.32 50.6%
10/31/2008 KNXA $8.91 $12.72 42.8%
10/31/2008 MSB $13.44 $9.40 -30.1%
10/31/2008 UEPS $14.0 $18.85 34.6%
10/31/2008 ELOS $9.41 $9.70 3.1%
10/31/2008 TSCM $3.91 $2.52 -35.5%
10/31/2008 WBC $18.16 $19.35 6.6%
10/31/2008 WDC $16.47 $34.35 108.6%
11/26/2008 GTLS $8.81 $19.73 124.0%
11/26/2008 FIX $8.29 $11.96 44.3%
11/26/2008 DAR $5.07 $7.22 42.4%
11/26/2008 GIGM $4.79 $4.77 -.4%
11/26/2008 HCKT $2.84 $2.64 -7.0%
11/26/2008 LOOP $6.20 $8.06 30.0%
11/26/2008 MSO $3.42 $6.99 104.4%
11/26/2008 MWW $11.65 $16.36 40.4%
11/26/2008 PRGX $4.79 $5.16 7.7%
11/26/2008 TWLL $5.60 $9.15 63.4%
11/26/2008 TKTM $4.0 $9.88 147.0%
11/26/2008 TRLG $12.81 $23.37 82.4%
12/26/2008 BIDZ $4.70 $3.15 -33.0%
12/26/2008 DELL $10.65 $15.93 49.6%
12/26/2008 ITWO $5.61 $14.78 163.5%
12/26/2008 MAXY $9.16 $6.83 -25.4%
12/26/2008 OPTV $1.17 $1.33 13.7%
12/26/2008 PBT $12.98 $12.08 -6.9%
1/23/2009 ADSK $16.26 $23.92 47.1%
1/23/2009 DHX $2.91 $5.85 101.0%
1/23/2009 MOS $35.39 $49.81 40.7%
1/23/2009 PRO $4.52 $8.14 80.1%
2/27/2009 AOB $3.69 $5.17 40.1%
2/27/2009 DECK $41.27 $69.08 67.4%
2/27/2009 DIVX $4.63 $5.51 19.0%
2/27/2009 FLR $33.03 $53.58 62.2%
2/27/2009 GTI $5.65 $14.61 158.6%
2/27/2009 HPY $5.47 $12.56 129.6%
2/27/2009 IPHS $10.36 $19.63 89.5%
2/27/2009 JOYG $17.27 $39.34 127.8%
2/27/2009 MTXX $17.63 $5.30 -69.9%
2/27/2009 PTIE $4.53 $5.16 13.9%
2/27/2009 QLGC $9.22 $16.07 74.3%
2/27/2009 SAPE $3.83 $7.38 92.7%
2/27/2009 SOLR $4.27 $5.27 23.4%
2/27/2009 TC $3.11 $11.98 285.2%
2/27/2009 VDSI $4.94 $8.63 74.7%
2/27/2009 VLCM $7.96 $14.29 79.5%
3/27/2009 EXBD $14.69 $24.36 65.8%
3/27/2009 MD $29.41 $52.09 77.1%
3/27/2009 QLTI $1.75 $4.24 142.3%
3/27/2009 SRDX $18.89 $23.14 22.5%
4/24/2009 ARP $5.44 $9.30 71.0%
4/24/2009 CRAI $21.99 $28.12 27.9%
4/24/2009 GNI $77.02 $90.18 17.1%
4/24/2009 INFI $5.97 $7.22 20.9%
4/24/2009 TYPE $4.03 $8.13 101.7%
4/24/2009 NOV $31.50 $37.23 18.2%
4/24/2009 PFE $12.89 $16.81 30.4%
5/29/2009 AMED $30.43 $45.08 48.1%
5/29/2009 BR $16.49 $20.60 24.9%
5/29/2009 CRAY $4.30 $7.38 71.6%
5/29/2009 JTX $3.97 $5.90 48.6%
5/29/2009 ASGN $3.57 $4.29 20.2%
5/29/2009 TWX $23.27 $28.33 21.7%
5/29/2009 UTA $7.90 $10.06 27.3%
5/29/2009 INT $42.36 $46.75 10.4%
6/29/2009 DISH $16.10 $16.86 4.7%
6/29/2009 DRC $25.96 $30.80 18.6%
6/29/2009 GME $22.17 $23.47 5.9%
6/29/2009 IILG $9.26 $11.0 18.8%
6/29/2009 VM $4.08 $4.82 18.1%
7/29/2009 AHCI $2.39 $2.57 7.5%
7/29/2009 GIB $9.74 $10.36 6.4%
7/29/2009 CBI $13.42 $15.51 15.6%
7/29/2009 CBEH $6.05 $6.84 13.1%
7/29/2009 HRS $31.61 $35.04 10.9%
7/29/2009 NPSP $3.99 $4.22 5.8%
7/29/2009 RTN $46.57 $47.32 1.6%
7/29/2009 SHAW $28.47 $30.87 8.4%
7/29/2009 WTW $27.03 $27.66 2.3%
7/29/2009 WG $13.61 $12.92 -5.1%
8/28/2009 BBND $3.97 $3.97 .0%
8/28/2009 CEU $5.15 $5.15 .0%
8/28/2009 CMFO $4.55 $4.55 .0%
8/28/2009 CYTK $3.04 $3.04 .0%
8/28/2009 KNDL $13.22 $13.22 .0%
8/28/2009 LHCG $24.72 $24.72 .0%
8/28/2009 PRIM $7.04 $7.04 .0%
8/28/2009 SEPR $18.59 $18.59 .0%

Obviously the ones at the very bottom are new to my portfolio I am just starting. Then here is a comparison of how the mechanicals have done against the Russell 3000 and the broader MFI portfolio month by month:

Average of Percent Change




Date Total IWV Broader MFI Beat Russell Beat Broad
1/26/2007 -18.0% -6.6% -10.2% 0 0
2/27/2007 1.8% -1.0% -3.7% 1 1
3/26/2007 -42.6% -5.5% -9.8% 0 0
4/27/2007 8.2% -5.0% -10.9% 1 1
5/29/2007 -12.2% -6.3% -11.5% 0 0
7/3/2007 -6.2% -15.6% -30.0% 1 1
7/30/2007 -29.2% -11.5% -19.9% 0 0
8/30/2007 1.9% -8.7% -12.5% 1 1
9/27/2007 -6.5% -18.2% -19.0% 1 1
11/2/2007 -50.5% -34.3% -40.4% 0 0
11/28/2007 -41.3% -38.3% -40.1% 0 0
12/28/2007 -37.6% -40.0% -36.3% 1 0
1/25/2008 -39.5% -35.9% -36.4% 0 0
2/26/2008 -42.0% -36.8% -51.7% 0 1
3/24/2008 -16.0% -35.6% -40.9% 1 1
4/25/2008 -33.3% -34.4% -25.6% 1 0
5/28/2008 -22.1% -33.6% -22.2% 1 1
7/2/2008 -12.2% -25.3% -11.7% 1 0
7/29/2008 -5.2% -16.3% -10.5% 1 1
8/29/2008 -17.0% -17.9% -13.8% 1 0
9/26/2008 -6.5% -13.1% -8.5% 1 1
10/31/2008 25.8% 9.9% 17.8% 1 1
11/26/2008 56.5% 20.6% 43.3% 1 1
12/26/2008 26.9% 21.7% 36.5% 1 0
1/23/2009 67.2% 27.2% 46.6% 1 1
2/27/2009 79.2% 43.1% 74.4% 1 1
3/27/2009 76.9% 28.7% 50.5% 1 1
4/24/2009 41.0% 20.3% 29.7% 1 1
5/29/2009 34.1% 12.6% 18.0% 1 1
6/29/2009 13.2% 11.8% 12.8% 1 1
7/29/2009 6.6% 5.7% 6.1% 1 1
8/28/2009 0.0% 0.0% 0.0% 0 1
Grand Total 4.3% -7.4% -4.1% 1 1

So 20 of the 32 tracking months, the mechanical approach has beaten the broader MFI approach. In addition, it is up an average of 4.3% per month year while the broader MFI is down 4.1% and Russell 3000 is down 7.4%.

Convinced?

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