Sunday, October 01, 2017

MFI Tracking Portfolio 9/30/16

MFI Tracking Portfolio 9/30/16

Another month/year has flown by. And so it is time to look at another monthly tracking portfolio as we hit the end of June 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 edged the benchmark by a tenth of a percentage point. As I mentioned earlier this week, the whiff of tax reform seems to have caused a spurt in MFI stocks.

Here are the 50 stocks in descending performance order (from the portfolio that just hit a year):


Stock  Initial Price   End Price  Percent Change 52 week low  Mkt Cap 
MBUU              14.90           31.64 112.3%          14.12            264
VEC              15.23           30.84 102.5%          12.50            163
STRA              46.25           87.27 88.7%          44.63            521
MCFT              11.40           20.38 78.8%          10.84            212
ENTA              26.61           46.80 75.9%          22.17            507
MYGN              20.58           36.18 75.8%          15.15         1,422
WNC              14.11           22.82 61.8%          10.74            915
ACHI                2.44             3.71 52.0%            1.47            262
LEA            119.70         173.08 44.6%        110.77         8,670
IQNT              16.14           22.90 41.9%          14.90            552
BLBD              14.61           20.60 41.0%          13.85            313
NATH              52.55           73.95 40.7%          47.20            219
LDOS              42.26           59.22 40.1%          40.96         3,159
BPT              16.02           22.45 40.1%          15.00            399
AAPL            111.09         154.12 38.7%        104.08     609,697
RHI              37.09           50.34 35.7%          34.42         4,927
TGNA              13.64           18.23 33.7%          11.46         4,685
HPQ              15.06           19.96 32.5%          13.77       26,510
NSR              26.59           33.50 26.0%          21.10         1,449
CPLA              56.85           70.15 23.4%          56.88            674
GHC            476.90         585.10 22.7%        440.55         2,648
HRB              22.32           26.48 18.7%          19.85         5,072
HSII              18.07           21.15 17.0%          17.37            345
BBSI              48.75           56.53 15.9%          42.59            358
AGX              58.16           67.25 15.6%          54.00            890
SSNI              14.18           16.17 14.0%            9.68            726
MSGN              18.61           21.20 13.9%          18.20         1,395
AMCX              51.86           58.47 12.7%          46.17         3,727
DLX              65.67           72.96 11.1%          59.47         3,258
CSCO              30.64           33.63 9.8%          29.12     158,790
TDC              31.00           33.79 9.0%          26.27         4,015
GILD              76.91           81.02 5.3%          63.76     105,309
KORS              46.79           47.85 2.3%          32.38         8,098
PDLI                3.35             3.39 1.2%            1.93            550
UTHR            118.08         117.19 -0.8%        110.90         5,540
RECN              14.48           13.90 -4.0%          12.05            541
NHTC              26.42           23.90 -9.5%          18.05            319
SPOK              17.11           15.35 -10.3%          14.45            366
WILN                1.51             1.32 -12.6%            1.26            183
UIS                9.74             8.50 -12.7%            6.90            488
PBI              17.20           14.01 -18.6%          12.31         3,370
GME              25.80           20.66 -19.9%          18.47         2,869
FPRX              52.49           40.91 -22.1%          25.97         1,488
BKE              22.08           16.85 -23.7%          13.50         1,168
INSY              11.79             8.88 -24.7%            8.70            893
VIAB              37.23           27.84 -25.2%          26.65       15,118
SYNT              27.17           19.65 -27.7%          15.82         3,521
ICON                8.12             5.69 -29.9%            4.79            424
SWHC              26.59           15.25 -42.6%            7.46         1,489
AVID                7.94             4.54 -42.8%            3.99            316


AVID was the big loser.  Boat companies MBUU and  MCFT were full steam ahead. 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 23.4% 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 14.3% 15.6% 0
6/30/2016 23.2% 16.1% 1
7/29/2016 13.7% 16.0% 0
8/26/2016 10.6% 14.6% 0
9/30/2016 18.6% 18.5% 1
10/28/2016 17.4% 21.2% 0
11/25/2016 6.8% 15.2% 0
12/30/2016 5.0% 13.7% 0
1/27/2017 4.8% 11.0% 0
2/24/2017 1.6% 7.5% 0
3/31/2017 2.6% 7.6% 0
4/28/2017 -0.6% 6.5% 0
5/26/2017 2.9% 5.3% 0
6/29/2017 0.3% 4.7% 0
7/28/2017 1.8% 2.5% 0
8/25/2017 7.5% 3.8% 1

Recall last month the final column had 13 straight zeros, meaning the 13 most recent monthly tracking portfolios were losing or had lost to the benchmark.  Well, we now have two "1s" in there.  So as I noted earlier this week, MFI seems to be making a bit of a comeback.

Subsets

I also have historically 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 (3) 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%.

I am starting a new subset - stocks with momentum.

I am officially stopping the dogs and new subsets.  It takes time and they have never really shown any advantage.  The dividend approach has proven merit.  In this portfolio, the dividend subset struggled a bit. (up 15.4%). (My new momentum approach was up 11.6%).



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      206,678
Total Russell 3K      245,697
Dividend      462,650

No comments: