Looking at open portfolios, the May 29th tranche seems to be making a good effort to replicate the all time worst (on a relative basis). Here are the 50 stocks from May:
| Stock | Initial Price | End Price | Percent Change |
| VNCE | 15.92 | 4.53 | -71.5% |
| ACHI | 5.38 | 2.05 | -61.9% |
| APOL | 16.58 | 7.09 | -57.2% |
| MSB | 14.07 | 6.24 | -55.7% |
| UIS | 20.54 | 12.76 | -37.9% |
| PDLI | 6.35 | 3.97 | -37.5% |
| EVOL | 8.56 | 5.65 | -34.0% |
| NSU | 4.07 | 2.70 | -33.7% |
| LQDT | 9.92 | 6.75 | -32.0% |
| LCI | 55.63 | 39.29 | -29.4% |
| QCOM | 68.62 | 49.10 | -28.4% |
| TDC | 38.94 | 29.89 | -23.2% |
| BKE | 42.37 | 32.62 | -23.0% |
| CLCT | 20.56 | 15.90 | -22.7% |
| ENTA | 40.88 | 32.00 | -21.7% |
| GORO | 2.86 | 2.26 | -21.0% |
| VIAB | 65.89 | 52.35 | -20.5% |
| PPC | 25.58 | 21.06 | -17.7% |
| OUTR | 75.64 | 64.64 | -14.5% |
| FLR | 55.96 | 47.84 | -14.5% |
| GME | 42.68 | 36.64 | -14.2% |
| NLNK | 43.15 | 37.14 | -13.9% |
| RPXC | 15.91 | 13.78 | -13.4% |
| IDCC | 58.19 | 52.48 | -9.8% |
| NSR | 27.32 | 24.70 | -9.6% |
| CPLA | 52.50 | 47.74 | -9.1% |
| DEPO | 20.86 | 19.02 | -8.8% |
| KORS | 46.50 | 42.90 | -7.7% |
| TIVO | 10.53 | 9.77 | -7.2% |
| DLX | 63.18 | 59.08 | -6.5% |
| CA | 29.88 | 28.08 | -6.0% |
| CSCO | 28.85 | 27.24 | -5.6% |
| APEI | 24.17 | 23.07 | -4.6% |
| GILD | 111.43 | 107.78 | -3.3% |
| VEC | 25.09 | 24.66 | -1.7% |
| PBI | 21.46 | 21.12 | -1.6% |
| PSDV | 3.93 | 3.90 | -0.8% |
| PETS | 16.34 | 16.96 | 3.8% |
| ONE | 2.84 | 3.05 | 7.4% |
| SPOK | 16.97 | 18.28 | 7.7% |
| POZN | 6.45 | 7.07 | 9.6% |
| DHX | 8.47 | 9.32 | 10.0% |
| IQNT | 17.36 | 19.29 | 11.1% |
| NATH | 39.06 | 43.62 | 11.7% |
| AGX | 35.08 | 39.38 | 12.3% |
| KFY | 31.91 | 36.07 | 13.1% |
| HRB | 31.34 | 36.94 | 17.9% |
| KING | 14.74 | 17.70 | 20.1% |
| VA | 28.44 | 35.69 | 25.5% |
| STRA | 45.83 | 59.36 | 29.5% |
Wow. Not only are there a lot of bad stocks (the average is -12.9% and the median is off 9.6%; but there are very few good stocks. Just 13 of the 50 (26% for math challenged) are in the black. And the best, STRA is up just a tepid 29.5%.
It feels like my May and June tranches:
| 5/6/2015 | Start | Current | Dividend | Pct Gain | R3K Gain |
| CBI | $50.38 | $42.05 | $0.14 | -16.3% | 0.5% |
| PSDV | $4.12 | $3.90 | $0.00 | -5.4% | 0.5% |
| TSRA | $38.94 | $32.37 | $0.60 | -15.3% | 0.5% |
| KORS | $62.24 | $42.90 | $0.00 | -31.1% | 0.5% |
| DEPO | $23.50 | $19.02 | $0.00 | -19.1% | 0.5% |
| Totals | -17.4% | 0.5% |
| 7/1/2015 | Start | Current | Dividend | Pct Gain | R3K Gain |
| BKE | $46.45 | $32.62 | $0.46 | -28.8% | 0.5% |
| CA | $29.34 | $28.08 | $0.50 | -2.6% | 0.5% |
| MSFT | $44.42 | $53.69 | $0.67 | 22.4% | 0.5% |
| QCOM | $62.95 | $49.10 | $0.48 | -21.2% | 0.5% |
| VIAB | $64.75 | $52.35 | $0.40 | -18.5% | 0.5% |
| Totals | -9.8% | 0.5% |
I do not really have an answer for what went wrong. I have noted many times that MFI is extremely streaky. The April 2011 portfolio was the 16th of 29 straight to lose (ouch, that was a long streak). All I can hypothosize is that there are times smaller cap value stocks are not in favor. The May 2015 tranche, if things hold up, would be the 14th of 15 tranches to lose (double ouch).
I know Greenblatt said in his back testing that you only win 5 out of 8 times. I can't recall if that was tranches or stocks. He never commented on the streakiness - but he did suggest that the volatility would make it difficult for mutual/hedge funds to go this path. I think we see what he means.
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1 comment:
I think comparing to the bench markets is tough this year...so much of sp500 performance is concentrated in the top 10 market caps. sp490 (if you will) has been quite negative this year so -12% isn't too bad.
http://i.imgur.com/lRxM8Xk.png
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