Sunday, May 28, 2017

MFI Tracking Portfolio 5/27/16

Magic Formula Investing - Tracking Portfolio 5/26/16

Another month/year has flown by. And so it is time to look at another monthly tracking portfolio as we hit the end of May 2017.  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 (wait for it) lost to the benchmark by over four points, the worst loss in the past eight portfolios.  All 11 open portfolios are trailing - we had 8 of 11 leading a month ago... so things got bad quickly.  The four point loss we just incurred is typical of the 11 open tranches.  It is never easy. 

Scratch all that!!!!!  Gad, I hate Yahoo Finance!!!  That worsening just seemed over the top.  I decided to dig a bit before "going to press".  The historical price component of Yahoo Finance seems to be f*cked up when there are splits (at the very least) and dividends. I looked at USNA and Yahoo Finance has their split adjusted price a year ago (they split 2 for 1 in October 2016) at $120.65 and actual at $241.30.  Those are both off by a factor of 2.  Whoops.  So I showed USNA (using Yahoo formulas) as down 50% when they were actually flattish.

It will take too long to fix everything right now.  And I will wait a month to see if Yahoo just fixes. So I have an approach that should be 99% correct (I will be missing dividends paid in past 30 days).  With this approach, MFI lost by 260 basis points.  Now losing 10 of 11 open tracking portfolios.

Here are the 50 stocks in descending performance order:


Stock Initial Price End Price Percent Change Mkt Cap
ACHI  1.76   3.47  97.2%  195 
IILG  14.00   26.85  91.8%  817 
BBY  31.08   58.97  89.8%  10,365 
STRA  47.70   88.86  86.3%  534 
AGX  33.62   60.80  80.8%  508 
CPLA  51.47   87.90  70.8%  613 
MBUU  13.85   23.52  69.8%  248 
BPT  12.06   20.20  67.5%  300 
BLBD  11.05   17.95  62.4%  232 
AAPL  98.46   153.61  56.0%  549,762 
WNC  13.70   20.88  52.4%  896 
HPQ  12.73   18.47  45.1%  22,508 
IDCC  57.07   82.60  44.7%  2,007 
NSR  23.49   33.05  40.7%  1,267 
IQNT  16.48   22.90  39.0%  567 
MEET  3.45   4.66  35.1%  164 
OUTR  39.82   52.00  30.6%  704 
MSGN  17.10   21.45  25.4%  1,279 
ENTA  24.39   30.13  23.5%  462 
HSII  18.38   22.25  21.1%  350 
FRAN  10.49   12.66  20.7%  431 
VEC  24.95   29.62  18.7%  266 
RHI  40.31   45.90  13.9%  5,376 
TIVO  10.02   11.34  13.2%  984 
CSCO  27.94   31.50  12.7%  145,323 
USNA  60.63   64.35  6.1%  1,450 
DLX  64.35   68.10  5.8%  3,188 
SPOK  16.52   17.25  4.4%  352 
TDC  27.94   28.60  2.4%  3,615 
NHTC  27.53   27.97  1.6%  330 
UTHR  117.78   119.08  1.1%  5,663 
UNTD  10.94   11.00  0.5%  164 
AVID  5.90   5.36  -9.2%  234 
AMAG  20.96   18.80  -10.3%  725 
CALM  45.74   40.65  -11.1%  2,220 
KORS  41.79   36.76  -12.0%  7,638 
AMCX  63.18   53.04  -16.0%  4,592 
PBI  17.88   14.93  -16.5%  3,543 
ICON  7.56   6.18  -18.3%  368 
GME  27.22   22.22  -18.4%  2,989 
VIAB  43.13   35.13  -18.5%  17,528 
GILD  83.64   64.50  -22.9%  115,685 
BKE  22.51   16.80  -25.4%  1,184 
PDLI  3.29   2.39  -27.4%  549 
CHKE  13.85   9.40  -32.1%  121 
FPRX  44.90   28.95  -35.5%  1,266 
SYNT  29.81   18.16  -39.1%  3,860 
WILN  2.79   1.41  -49.5%  340 
PMTS  3.94   1.90  -51.7%  232 
FIT  14.32   5.31  -62.9%  3,076 


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 -8.7% 0.4% 0
7/30/2015 3.96% 4.02% 0
8/28/2015 5.6% 10.2% 0
9/25/2015 6.5% 13.8% 0
10/30/2015 2.0% 4.0% 0
11/27/2015 8.9% 8.4% 1
12/31/2015 13.7% 12.6% 1
1/29/2016 22.6% 22.4% 1
2/26/2016 27.8% 25.4% 1
3/24/2016 26.5% 19.6% 1
4/22/2016 13.7% 14.8% 0
5/27/2016 15.1% 17.7% 0
6/30/2016 17.8% 17.5% 1
7/29/2016 12.4% 13.0% 0
8/26/2016 10.7% 12.9% 0
9/30/2016 10.8% 12.6% 0
10/28/2016 10.5% 15.2% 0
11/25/2016 0.7% 9.4% 0
12/30/2016 -1.8% 8.0% 0
1/27/2017 -1.6% 5.4% 0
2/24/2017 -0.2% 2.1% 0
3/31/2017 -1.5% 2.2% 0
4/28/2017 -1.1% 1.2% 0


Subsets

I also have tracked 3 subsets of the larger portfolios:  (1) dividend stocks (those with a yield per Yahoo of at least 2.6%),  (2) new stocks (those new to the tracking portfolios in past 12 months and 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 solid, up about 18%.   The Dogs portfolio underperformed, up just 9%.  The New approach dreadful, down 14%. I think starting now, I am going to drop the new analysis and dogs analysis. They are both a fair amount of work and they do not see especially successful.  Here were the "dividend" stocks:


Stock Initial Price End Price Percent Change Mkt Cap Yield
BBY  31.08   58.97  89.8%  10,365  3.6%
BKE  22.51   16.80  -25.4%  1,184  4.4%
BPT  12.06   20.20  67.5%  300  23.6%
CALM  45.74   40.65  -11.1%  2,220  3.8%
CPLA  51.47   87.90  70.8%  613  3.0%
CSCO  27.94   31.50  12.7%  145,323  3.7%
GME  27.22   22.22  -18.4%  2,989  5.4%
HPQ  12.73   18.47  45.1%  22,508  3.9%
HSII  18.38   22.25  21.1%  350  2.8%
IILG  14.00   26.85  91.8%  817  3.4%
IQNT  16.48   22.90  39.0%  567  3.9%
OUTR  39.82   52.00  30.6%  704  6.0%
PBI  17.88   14.93  -16.5%  3,543  4.2%
PDLI  3.29   2.39  -27.4%  549  6.1%
PMTS  3.94   1.90  -51.7%  232  4.6%
SPOK  16.52   17.25  4.4%  352  3.0%
VIAB  43.13   35.13  -18.5%  17,528  3.7%

Here are the dogs:

Stock Initial Price End Price Percent Change
ACHI  1.76   3.47  97.2%
BKE  22.51   16.80  -25.4%
ENTA  24.39   30.13  23.5%
GME  27.22   22.22  -18.4%
OUTR  39.82   52.00  30.6%
PDLI  3.29   2.39  -27.4%
VIAB  43.13   35.13  -18.5%

Here are the new stocks:

Stock Initial Price End Price Percent Change
FRAN  10.49   12.66  20.7%
PMTS  3.94   1.90  -51.7%
AVID  5.90   5.36  -9.2%
AMCX  63.18   53.04  -16.0%

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. I think it is obvious why my formula approach is a function of dividend subset.


Category Value
Total  197,717 
Total Russell 3K  234,113 
New  151,047 
Dogs  235,793 
Dividend  441,515 
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