Sunday, January 03, 2016

Analysis of MFI Tracking Portfolios

MFI Tracking Portfolios - July 2014 through June 2015

As I have been saying for quite a few months, it has been tough sledding for MFI of late.  Not only was my Index down over 9% in 2015,  but 20 of my last 21 tracking portfolios have lost or are losing to the benchmark. And it does not get better with the Gotham funds. GENIX started the year at $12.01 and ended at $11.11. GARIX went from $13.72 to $12.31.

Just for fun (I know it isn't statistically significant), I decided to look at the MFI tracking portfolios I started between 7/14 and 6/15 with the concept that all 12 were open at least 6 months in 2015.  Did anything work? Did somethings clearly not work?

In Aggregate

Here are how each of those tracking portfolios performed in total:

7/25/2014 3.3%
8/29/2014 -2.2%
9/26/2014 -0.6%
10/31/2014 4.3%
11/28/2014 -2.9%
12/31/2014 -9.3%
1/30/2015 -4.5%
2/27/2015 -13.9%
3/27/2015 -13.9%
4/24/2015 -14.3%
5/29/2015 -16.0%
6/26/2015 -9.8%


So on average down 6.6%.  Now if I do a little work and adjust the first 5 for their 2015 performance only, I get down 8.7%.  I have here 600 stock "years" in total.  I am not going to  list them all.  But let us look at some subsets.

Top 50

Here are the top 50 performers:

Stock Initial Price End Price Percent Change
NHTC  $         9.94  $      49.26 396%
WTW  $         5.10  $      22.80 347%
NHTC  $       13.55  $      48.28 256%
NHTC  $       11.45  $      33.53 193%
NHTC  $       12.00  $      33.53 179%
WTW  $         8.25  $      22.80 176%
DEPO  $       11.74  $      30.53 160%
NHTC  $       12.99  $      33.53 158%
EBIX  $       12.54  $      29.99 139%
EBIX  $       16.06  $      37.81 135%
USNA  $       73.03  $    145.50 99%
EBIX  $       16.83  $      32.79 95%
EBIX  $       14.00  $      27.01 93%
NHTC  $       17.61  $      33.53 90%
EBIX  $       14.57  $      27.73 90%
USNA  $       71.98  $    135.87 89%
IQNT  $       12.07  $      22.54 87%
EBIX  $       15.25  $      28.21 85%
DEPO  $       15.35  $      28.38 85%
RGR  $       33.95  $      59.61 76%
USNA  $       71.95  $    125.10 74%
ADMS  $       16.83  $      28.32 68%
ADMS  $       17.28  $      28.32 64%
PENN  $       11.29  $      18.43 63%
ADMS  $       17.37  $      28.32 63%
ADMS  $       17.50  $      28.32 62%
IQNT  $       11.03  $      17.67 60%
ADMS  $       17.70  $      28.32 60%
EXLS  $       24.93  $      39.81 60%
IQNT  $       11.67  $      18.59 59%
RGR  $       39.61  $      59.61 50%
NHTC  $       22.37  $      33.53 50%
DEPO  $       15.21  $      22.76 50%
CNVR  $       23.63  $      34.44 46%
KING  $       12.41  $      17.88 44%
PENN  $       11.83  $      16.95 43%
RGR  $       37.34  $      53.28 43%
BAH  $       19.67  $      27.81 41%
MSFT  $       39.33  $      55.48 41%
ONE  $         2.31  $        3.24 40%
NOC  $     125.08  $    175.41 40%
XLS  $       17.60  $      24.66 40%
KING  $       10.72  $      14.96 40%
RGR  $       40.92  $      56.94 39%
STRZA  $       29.46  $      40.90 39%
NOC  $     135.36  $    187.75 39%
MSFT  $       40.17  $      55.48 38%
WTW  $       16.56  $      22.80 38%
TTWO  $       23.51  $      31.81 35%
Not seeing any major trends there.

Bottom 50

Stock Initial Price End Price Percent Change
WTW  $       20.17  $        4.14 -79%
APOL  $       31.22  $        6.91 -78%
APOL  $       34.11  $        7.67 -78%
SMT  $         1.27  $        0.29 -77%
WTW  $       27.64  $        6.42 -77%
WTW  $       24.69  $        5.98 -76%
SMT  $         1.18  $        0.29 -75%
SMT  $         1.17  $        0.29 -75%
APOL  $       28.66  $        7.26 -75%
MSB  $       17.36  $        4.52 -74%
ESI  $       14.80  $        3.90 -74%
MSB  $       17.01  $        4.52 -73%
PFMT  $         8.63  $        2.31 -73%
VNCE  $       17.04  $        4.58 -73%
PFMT  $         6.65  $        1.79 -73%
MSB  $       16.60  $        4.52 -73%
APOL  $       27.65  $        7.67 -72%
PFMT  $         9.62  $        2.68 -72%
VNCE  $       15.92  $        4.58 -71%
PFMT  $         6.80  $        1.97 -71%
PFMT  $       10.18  $        3.02 -70%
MSB  $       15.22  $        4.52 -70%
MSB  $       15.15  $        4.52 -70%
PFMT  $         8.46  $        2.53 -70%
APOL  $       25.26  $        7.67 -70%
MSB  $       14.07  $        4.52 -68%
MSB  $       13.45  $        4.52 -66%
PFMT  $         4.96  $        1.79 -64%
WILN  $         2.96  $        1.09 -63%
UIS  $       29.48  $      11.05 -63%
VNCE  $       12.11  $        4.58 -62%
PTIE  $         4.63  $        1.76 -62%
APOL  $       27.77  $      11.47 -59%
TPUB  $       21.96  $        9.22 -58%
CJREF  $       17.64  $        7.59 -57%
APOL  $       17.51  $        7.67 -56%
PTIE  $         4.22  $        1.86 -56%
APOL  $       25.39  $      11.33 -55%
TPUB  $       20.62  $        9.22 -55%
ESI  $         8.43  $        3.83 -55%
TPUB  $       20.14  $        9.22 -54%
TPUB  $       20.22  $        9.29 -54%
APOL  $       28.79  $      13.29 -54%
APOL  $       16.58  $        7.67 -54%
AVID  $       15.68  $        7.29 -54%
APOL  $       16.35  $        7.67 -53%
WILN  $         2.81  $        1.32 -53%
UIS  $       26.72  $      12.68 -53%
UIS  $       23.00  $      11.05 -52%
Interesting that WTW is on both lists. 50 stocks out of 600 is about 8%. Sad that over 8% of MFI stocks are down 50% or more. Does that now mean they are super-duper values?

By Stock

Here is a table that shows each stock. IT shows the number of times it appears (so 12 would be max), it shows the average market cap and the average dividend.

Stock Count % Chg Mkt Cap Yield
AAPL 1 27.5%       584,968 1.9%
ACHI 5 -44.4%              553 0.0%
ADMS 6 54.6%              289 0.0%
AFOP 6 17.6%              254 1.1%
AGX 12 2.5%              503 1.9%
ANIK 9 -5.2%              587 0.0%
APEI 5 -26.6%              493 0.0%
APOL 11 -63.9%           2,784 0.0%
AVID 7 -39.5%              505 0.0%
AWRE 3 -29.7%              106 38.0%
BAH 3 27.4%           3,404 12.9%
BCOR 10 -25.2%              614 0.0%
BKE 12 -25.7%           2,337 4.7%
BRCD 9 -10.6%           4,784 0.9%
BWC 1 1.4%           3,617 1.2%
CA 10 -2.6%         13,151 3.4%
CJREF 1 -57.0%           1,622 5.6%
CLCT 5 -26.3%              196 6.6%
CNVR 2 35.4%           1,667 0.0%
COH 7 -10.7%           9,970 3.9%
CPLA 6 -20.1%              744 2.4%
CSCO 12 3.3%       138,069 2.9%
DEPO 11 23.7%           1,071 0.0%
DHX 2 9.6%              447 0.0%
DLX 8 -8.5%           3,096 1.9%
DNB 1 13.9%           4,128 1.5%
EBIX 6 106.3%              570 1.7%
EGL 3 -0.3%              576 12.6%
ENTA 5 -11.5%              705 0.0%
ESI 4 -42.3%              184 0.0%
ETM 3 12.1%              357 0.0%
EVOL 2 -36.0%              104 5.1%
EXLS 1 59.7%              816 0.0%
FLR 10 -19.8%           9,095 1.4%
GIB 3 6.6%         10,803 0.0%
GILD 5 -4.9%       160,871 0.6%
GME 11 -14.7%           4,418 3.6%
GORO 9 -43.7%              182 3.9%
HLF 2 -5.1%           5,692 1.3%
HPQ 4 -16.3%         60,051 2.1%
HRB 9 9.7%           8,852 2.5%
IDCC 8 -5.7%           1,986 1.4%
IILG 6 -11.5%           1,201 2.1%
IQNT 12 22.8%              538 3.5%
ITRN 6 1.2%              447 4.6%
KFY 2 3.7%           1,626 1.3%
KING 12 19.4%           4,728 3.3%
KORS 3 -20.5%         10,388 0.0%
LBMH 3 1.3%              152 4.4%
LCI 3 -22.1%           1,897 0.0%
LFVN 6 -14.7%              131 0.0%
LQDT 12 -34.5%              329 0.0%
MED 1 6.6%              377 0.0%
MSB 7 -70.7%              206 14.7%
MSFT 3 36.1%       343,019 2.9%
MYGN 4 -1.2%           3,090 0.0%
NATH 2 21.5%              192 58.9%
NDZ 1 0.4%              808 0.0%
NHTC 7 188.9%              181 0.3%
NLNK 3 -21.4%           1,428 0.0%
NOC 4 34.9%         27,208 2.0%
NSR 12 -6.5%           1,604 0.0%
NSU 3 -29.5%              796 4.2%
NUS 7 -12.2%           2,813 2.9%
OMC 2 7.7%         17,571 2.7%
ONE 12 -4.9%              152 0.0%
ORCL 1 0.9%       190,213 1.2%
OUTR 2 -51.8%           1,418 1.6%
PBI 8 -8.6%           4,692 3.3%
PDFS 2 -17.8%              405 0.0%
PDLI 12 -41.5%           1,301 8.6%
PENN 3 36.6%           1,015 0.0%
PETS 11 19.0%              303 5.0%
PFMT 9 -65.0%              335 0.0%
POZN 1 5.9%              208 0.0%
PPC 5 -10.8%           6,437 23.3%
PSDV 5 18.8%              120 0.0%
PTIE 3 -56.2%              193 0.0%
QCOM 5 -22.7%       109,000 2.8%
QCOR 1 -1.4%           5,832 1.3%
REX 1 -0.5%              435 0.0%
RGR 8 35.2%              874 4.1%
RPXC 11 -16.1%              817 0.0%
RTN 6 20.3%         30,785 2.5%
SMT 3 -75.9%              148 0.0%
SNDK 1 18.8%         15,179 1.9%
SPOK 9 13.7%              352 3.2%
SPRT 3 -47.3%              126 0.0%
STRA 11 1.3%              643 0.0%
STRZA 1 38.8%           3,214 0.0%
SWHC 1 17.6%              756 0.0%
TDC 5 -35.9%           6,105 0.0%
TIME 1 -5.1%           2,658 0.0%
TIVO 3 -17.9%           1,050 0.0%
TPUB 4 -55.4%              550 3.5%
TSRA 5 -10.5%           1,928 2.7%
TTWO 7 26.6%           2,692 0.0%
TZOO 9 -30.2%              193 0.0%
UBNT 3 15.4%           2,505 0.6%
UIS 12 -47.2%           1,170 0.0%
USNA 6 57.4%           1,115 0.0%
VA 2 27.8%           1,217 0.0%
VEC 8 -20.9%              284 0.0%
VIAB 11 -38.3%         29,539 1.9%
VNCE 3 -68.8%              552 0.0%
WILN 5 -50.9%              333 6.3%
WTW 8 38.9%           1,111 0.0%
XENE 1 -34.0%              173 0.0%
XLS 1 40.1%           3,362 2.2%

Still a lot of data.  Let us now look by yield and by market cap.

By Yield

Stock Count % Chg Mkt Cap Yield
no dividend 268 -13.2%           2,939 0.0%
Under 1% 16 83.7%           2,297 0.5%
1% to 2.6% 119 -0.5%         19,940 1.8%
2.6% to 4% 100 -4.3%         35,030 3.3%
4% to 6% 49 0.0%           1,349 4.6%
6% to 10% 26 -30.9%           1,324 7.7%
over 10% 21 -24.1%           2,146 25.1%

Well, you can tell where NHTC fell (under 1%).  Large/special  dividend payers were really bad (6%+). Companies that paid no dividend were also bad.  This table is not really helping.

By Market Cap

Stock Count % Chg Mkt Cap
big 245 -7.9%         27,153
medium 122 -6.3%              972
small 233 -5.5%              326
Grand Total 600 -6.6%         11,412

Wow. The trend seems to be that there is no trend.

I think we can just say things are not working. Too early to say the model doesn't work any more.  I have commented several times that this feels like late 2007/early 2008. MFI was really underperforming at that time as well.  Then the wheels fell off the broader market and MFI stocks rebounded extremely strongly and we had a nice stretch of out performance. No guarantees of course that will happen again.

8 comments:

Rose Maria said...
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Heinz Weber said...
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Heinz Weber said...

Can you point me to a post in your blog that explains your 'MFI Select' criteria?
Thx!

Marsh_Gerda said...

Heinz - I have no criteria for my "select" picks. They simply have to be either on the official MFI list or on my own list, which I create once a month or so.

Jhon Marshal said...
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Amery Barry said...
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Jack Edward said...
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Jhon Marshal said...

I agree with the majority of the points in this article and it’s great without any doubt. Really a wonderful post! I like it very much. Here I find everything in details. I hope I will see this type of post again in your blog
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