Sunday, May 29, 2016

May 29th 2015 MFI Tracking Portfolio

May 29th 2015 Tracking Portfolio

Another month/year has flown by. And so it is time to look at another monthly tracking portfolio as we near Memorial Day 2016.  As my faithful readers know, I have been tracking the Magic Formula Stocks as described by Joel Greenblatt in The Little Book That Beats the Stock Market since January 2006.  Every month I take the top 50 stocks over $100m market cap from his website and track how that portfolio of stocks fares versus the Russell 3000 for the next 12 months.  It has been an uphill struggle as the tracking portfolios have under-performed, driven in part by Chinese reverse merger fiascos, for-profit education stocks and home health care stocks all being proverbial albatrosses.

Onward

 Fearless readers will recall we had a 29 month "losing streak"..  Then we had a 13 month winning streak. This month, MFI lost by about 16 points. That makes it 14 of the last 15 to close have lost. In addition, this was the seventh straight portfolio to lose $ (sadly, all 11 open portfolios are also trailing).  Here are the 50 stocks in descending performance order:

Stock  Initial Price   End Price  Percent Change  52 week low   Mkt Cap 
VA              28.44           55.98 96.8%               26.30         1,228
ONE                2.84             3.78 33.1%                 1.85            136
KING              14.74           18.00 22.1%  N/A          4,648
PETS              16.00           18.93 18.3%               14.53            338
APEI              24.17           28.26 16.9%               13.80            414
NATH              39.06           44.51 14.0%               30.20            176
CA              29.37           32.07 9.2%               25.16       13,261
PPC              22.91           24.84 8.4%               17.39         6,626
GORO                2.84             2.98 5.1%                 1.14            159
STRA              45.83           47.85 4.4%               41.50            503
DLX              62.53           65.19 4.3%               49.46         3,187
SPOK              16.72           17.08 2.2%               15.26            380
CPLA              51.27           52.31 2.0%               39.06            651
CSCO              28.37           28.92 1.9%               22.46     149,276
IDCC              57.73           57.89 0.3%               41.01         2,106
VEC              25.09           24.95 -0.6%               17.25            264
CLCT              19.72           19.49 -1.2%               11.66            190
PSDV                3.93             3.85 -2.0%                 2.37            116
IQNT              17.04           16.65 -2.3%               14.56            591
AGX              35.08           34.22 -2.4%               28.03            524
DEPO              20.86           20.34 -2.5%               12.25         1,251
TIVO              10.53           10.02 -4.8%                 7.29         1,022
FLR              55.47           52.71 -5.0%               39.48         8,263
POZN                6.45             5.94 -7.9%                 5.49            208
KFY              31.70           28.65 -9.6%               25.21         1,617
KORS              46.50           41.79 -10.1%               34.83         9,284
PBI              21.01           18.55 -11.7%               16.24         4,392
NSR              27.32           23.49 -14.0%               20.00         1,505
NSU                3.97             3.35 -15.5%                 2.27            833
DHX                8.47             7.06 -16.6%                 6.05            466
QCOM              66.68           55.27 -17.1%               42.24     113,787
GILD            110.41           85.82 -22.3%               81.28     165,823
TDC              38.94           27.94 -28.2%               21.98         5,526
LQDT                9.92             6.90 -30.4%                 4.42            298
GME              41.77           28.80 -31.0%               24.33         4,675
VIAB              64.62           44.24 -31.5%               30.11       26,558
HRB              30.95           20.97 -32.2%               19.18         8,734
MSB              13.59             9.16 -32.6%                 3.00            185
RPXC              15.91             9.94 -37.5%                 8.85            899
EVOL                8.39             5.24 -37.6%                 4.79            104
BKE              39.89           24.36 -38.9%               22.00         2,066
ENTA              40.88           24.39 -40.3%               16.75            764
PDLI                6.00             3.34 -44.3%                 2.58         1,092
APOL              16.58             9.21 -44.5%                 6.31         1,785
OUTR              74.95           40.84 -45.5%               24.81         1,418
LCI              55.63           23.75 -57.3%               16.91         2,010
UIS              20.54             8.02 -61.0%                 7.04         1,025
VNCE              15.92             5.75 -63.9%                 3.31            585
ACHI                5.38             1.76 -67.3%                 1.72            517
NLNK              43.15           11.17 -74.1%                 9.23         1,390


Obviously when 19 of the 50 stocks are down 20% or more over a year - it is a struggle.

I have mentioned that a "Dogs of MFI" approach has shown some promise.  OUTR and ACHI are still on the list.  It would take some courage to buy any of those - but I guess that is why they are called dogs. I did find another site that has been tracking since 2006 this week.  It uses a different approach, just 5 stocks picked randomly every quarter. They have had better results than me (TrackJGreenblatt's Stock Picks). I found it very interesting and would encourage people to take a looksee.

Here is a listing of every portfolio I have tracked:

Date MFI R3K Lead
1/6/2006 16.0% 10.9% 1
2/17/2006 21.2% 14.6% 1
3/29/2006 13.0% 9.6% 1
4/7/2006 10.3% 12.1% 0
5/12/2006 20.4% 18.6% 1
5/31/2006 29.2% 23.3% 1
6/30/2006 22.4% 20.0% 1
7/31/2006 19.7% 17.3% 1
8/31/2006 13.0% 13.3% 0
9/28/2006 12.7% 14.6% 0
10/27/2006 10.3% 12.0% 0
11/29/2006 -0.3% 4.8% 0
12/28/2006 -6.9% 3.4% 0
1/26/2007 -10.2% -6.6% 0
2/27/2007 -3.7% -1.0% 0
3/26/2007 -9.8% -5.5% 0
4/27/2007 -10.9% -5.0% 0
5/29/2007 -11.5% -6.3% 0
7/3/2007 -30.0% -15.6% 0
7/30/2007 -19.9% -11.5% 0
8/30/2007 -12.5% -8.7% 0
9/27/2007 -19.0% -18.2% 0
11/2/2007 -40.4% -34.3% 0
11/28/2007 -40.1% -38.3% 0
12/28/2007 -36.3% -40.0% 1
1/25/2008 -36.4% -35.9% 0
2/26/2008 -51.7% -41.5% 0
3/24/2008 -40.9% -36.8% 0
4/25/2008 -25.6% -31.0% 1
5/28/2008 -22.2% -33.6% 1
7/2/2008 -11.7% -25.3% 1
7/29/2008 -10.5% -20.9% 1
8/29/2008 -13.8% -17.9% 1
9/26/2008 -4.3% -10.0% 1
10/31/2008 18.7% 13.9% 1
11/26/2008 50.9% 27.7% 1
12/26/2008 48.9% 32.3% 1
1/23/2009 59.3% 36.4% 1
2/27/2009 92.8% 55.6% 1
3/27/2009 85.8% 48.1% 1
4/24/2009 69.7% 45.8% 1
5/29/2009 31.8% 22.8% 1
6/29/2009 21.3% 24.0% 0
7/29/2009 19.5% 15.9% 1
8/28/2009 7.4% 8.8% 0
9/25/2009 12.6% 12.4% 1
10/30/2009 22.7% 18.3% 1
11/27/2009 24.3% 13.6% 1
12/31/2009 23.7% 18.1% 1
1/22/2010 19.0% 20.6% 0
2/26/2010 18.6% 23.6% 0
3/25/2010 10.0% 15.4% 0
4/23/2010 7.1% 11.4% 0
5/28/2010 19.3% 25.4% 0
6/29/2010 16.7% 25.7% 0
7/29/2010 5.4% 20.1% 0
9/2/2010 7.3% 10.1% 0
9/24/2010 -4.3% 0.3% 0
10/29/2010 -2.9% 10.4% 0
11/26/2010 -8.5% 1.4% 0
1/3/2011 -11.4% 0.1% 0
1/28/2011 -7.6% 4.9% 0
2/25/2011 -5.5% 5.0% 0
3/24/2011 -4.4% 7.4% 0
4/21/2011 -16.0% 3.2% 0
5/27/2011 -12.0% -0.4% 0
6/24/2011 -9.5% 5.0% 0
7/29/2011 -4.3% 8.1% 0
8/26/2011 12.0% 21.6% 0
9/30/2011 23.5% 29.6% 0
10/28/2011 0.4% 11.5% 0
11/25/2011 13.9% 24.0% 0
12/29/2011 9.9% 15.9% 0
1/27/2012 7.4% 16.6% 0
2/24/2012 7.8% 13.3% 0
3/23/2012 9.1% 15.2% 0
4/27/2012 10.5% 15.3% 0
5/25/2012 26.5% 27.5% 0
6/22/2012 26.1% 24.6% 1
7/27/2012 30.4% 25.7% 1
8/24/2012 26.0% 19.8% 1
9/28/2012 39.3% 22.1% 1
10/26/2012 48.3% 28.9% 1
11/23/2012 45.7% 32.1% 1
12/31/2012 52.3% 33.0% 1
1/25/2013 39.5% 22.0% 1
2/22/2013 46.5% 26.4% 1
3/28/2013 40.1% 21.2% 1
4/26/2013 35.0% 20.5% 1
5/24/2013 20.4% 19.2% 1
6/28/2013 26.9% 24.1% 1
7/29/2013 17.8% 19.0% 0
8/30/2013 17.5% 24.6% 0
9/27/2013 12.9% 17.7% 0
10/25/2013 11.8% 15.4% 0
11/29/2013 12.3% 15.6% 0
12/31/2013 12.7% 11.9% 1
1/31/2014 14.2% 13.0% 1
2/28/2014 15.4% 13.9% 1
3/28/2014 6.1% 12.3% 0
4/25/2014 8.6% 15.8% 0
5/30/2014 5.9% 11.7% 0
6/27/2014 2.5% 9.2% 0
7/25/2014 3.3% 8.7% 0
8/29/2014 -2.2% 1.0% 0
9/26/2014 -0.6% -0.9% 1
10/31/2014 4.3% 4.4% 0
11/28/2014 -2.9% 2.9% 0
12/31/2014 -9.3% 0.3% 0
1/30/2015 -12.4% -2.8% 0
2/27/2015 -19.0% -7.3% 0
3/27/2015 -17.1% -1.9% 0
4/24/2015 -15.4% -0.8% 0
5/29/2015 -14.1% 0.1% 0
6/26/2015 -10.2% 0.0% 0
7/30/2015 -3.5% 0.0% 0
8/28/2015 0.7% 5.7% 0
9/25/2015 2.4% 8.9% 0
10/30/2015 -3.9% 1.7% 0
11/27/2015 -4.6% 0.7% 0
12/31/2015 -1.3% 3.3% 0
1/29/2016 5.8% 9.6% 0
2/26/2016 6.3% 8.8% 0
3/24/2016 3.4% 3.9% 0
4/22/2016 -3.4% 0.5% 0
Wow, that is a bad streak. At what point to say it doesn't work?

Subsets

I also have tracked 2 subsets of the larger portfolios:  (1) dividend stocks (those with a yield per Yahoo of at least 2.6%) and (2) new stocks (those new to the tracking portfolios in past 12 months.  I have added a third one , which I call "dogs".  It is like the dogs of the Dow in that you take the worst five performing stocks from the prior year that renew or all those that dropped more that 29%. The dividend portfolio was "ok", down about 6.3%. (PDLI,  BKE etc)  The Dogs portfolio was on par, down 16.3% (ONE was up 33%).  The New approach was ok, up 1.5% (helped by VA).  Finally, I like to track cash as it is more "honest" than percentages as if you go up by 25% and then down by 25%, that is a different result than up by 5% then down by 5%.  So I track what you would have today if you had spread $100,000 over the first twelve portfolios evenly.

Category Value
Total      169,269
Total Russell 3K      199,145
New      149,542
Dogs      226,886
Dividend      368,717

That is a sobering table.  It strongly indicates (assuming a guy with a spreadsheet hasn't made too many errors) that for the $100m + bucket that it hasn't worked very well since 2006.  

1 comment:

John Carney said...

YES! YES! The Book does not WORK. If your are a stock picker maybe sometimes! You have been extremely faithful!!! No one would stay with this MFI thing like you and fight it to the ground. Thanks for all the GOOD and EXCELLENT WORK. Maybe the dogs, maybe dividends, maybe large caps but NO. I don't think it will work over a 5 year period. It just too HARD!