Portfolio A1 Performance Update: 8/31/08

As previously promised, I am now providing a monthly performance update for Portfolio A1, which I launched live on the blog a little over 1 ½ years ago.

The chart below shows the equity curve and some summary performance statistics for Portfolio A1 since the equities only (no ETFs or options), long only portfolio was created on February 16, 2007. During the 18 ½ months since inception, Portfolio A1 has posted a cumulative return (exclusive of dividends) of 4.2%, while the benchmark S&P 500 index has declined 11.9%. This adds up to a net performance of +16.1% for the portfolio vs. the benchmark.

As of August 31, Portfolio A1’s holdings included: Cleveland-Cliffs (CLF); ENGlobal (ENG); Cash America (CSH); EnerSys (ENS); and Centene (CNC). For the record, Portfolio A1 also shares some common ancestry and has a stock ranking system that is similar to the VIX and More Focus Aggressive Trader model portfolio – one of the four model portfolios that I update transaction by transaction for the VIX and More subscriber newsletter.

As a reminder, Portfolio A1 was created with tools developed by Portfolio123.com and is managed via Portfolio123.com’s tool set. For more information on Portfolio123.com, please refer to an earlier post on the subject, Portfolio123.com: The Engine Behind Portfolio A1.

[source: Portfolio123.com]

Portfolio A1 Performance Update: 7/31/08

As previously promised, I am now providing a monthly performance update for Portfolio A1, which I launched live on the blog almost 1 ½ years ago.

The chart below shows the equity curve and some summary performance statistics for Portfolio A1 since the equities only (no ETFs or options), long only portfolio was created on February 16, 2007. During the 17 ½ months since inception, Portfolio A1 has posted a cumulative return (exclusive of dividends) of 14.6%, while the benchmark S&P 500 index has declined 12.9%. This adds up to a net performance of +27.5% for the portfolio vs. the benchmark.

As of July 31, Portfolio A1’s holdings included: Terra Industries (TRA); W&T Offshore (WTI); DreamWorks Animation (DWA); Synaptics (SYNA); and Hugoton Royalty Trust (HGT). For the record, Portfolio A1 also shares some common ancestry and has a stock ranking system that is similar to the VIX and More Focus Aggressive Trader model portfolio – one of the four model portfolios that I update transaction by transaction for the VIX and More subscriber newsletter.

As a reminder, Portfolio A1 was created with tools developed by Portfolio123.com and is managed via Portfolio123.com’s tool set. For more information on Portfolio123.com, please refer to an earlier post on the subject, Portfolio123.com: The Engine Behind Portfolio A1.

Portfolio A1 Performance Update: 6/30/08

Per reader request, what follows is a snapshot of Portfolio A1 for the month ended June 2008.

The chart below shows the equity curve and some summary performance statistics for Portfolio A1 since the equities only (no ETFs or options), long only portfolio was created on February 16, 2007. During the 16 ½ months since inception, Portfolio A1 has posted a cumulative return (exclusive of dividends) of 23.9%, while the benchmark S&P 500 index has declined 12.1%. This adds up to a net performance of +36.0% for the portfolio vs. the benchmark.

The graphic to the right provides some additional performance details for Portfolio A1 vs. the S&P 500 index over a variety of time frames. For the second quarter of 2008, for instance, Portfolio A1 returned 17.6%, while the S&P 500 was down 3.2%

For the record, Portfolio A1’s current holdings include: Mosaic (MOS); TBS International (TBSI); PetroQuest (PQ); DreamWorks Animation (DWA); and Homex Development Corp (HXM). Portfolio A1 also shares some common ancestry and has a stock ranking system that is similar to the VIX and More Focus Aggressive Trader model portfolio – one of the four model portfolios that I update transaction by transaction for the VIX and More subscriber newsletter.

Finally, I would be remiss in not reiterating that Portfolio A1 was created with tools developed by Portfolio123.com and is managed via Portfolio123.com’s tool set. For more information on Portfolio123.com, please refer to an earlier post on the subject, Portfolio123.com: The Engine Behind Portfolio A1.

Portfolio A1 Performance Update: 5/31/08

Since I continue to receive inquiries about Portfolio A1 as well as my new subscriber newsletter model portfolios, I thought I would provide a snapshot of the portfolios at the end of each month.

The chart below shows the equity curve and some summary statistics for Portfolio A1 since the portfolio (which is equities only, long only) was created on February 16, 2007. During the 15 ½ months since inception, Portfolio A1 has posted a cumulative return (exclusive of dividends) of 19.8%, while the benchmark S&P 500 index has declined 3.8%.

The graphic to the right provides some additional performance details for Portfolio A1 vs. the S&P 500 index over a variety of time frames.

For the record, Portfolio A1’s current holdings include: Mosaic (MOS); TBS International (TBSI); PetroQuest (PQ); World Acceptance (WRLD); and Brasil Telecom Participacoes (BRP). Portfolio A1 also shares some common ancestry and has a stock ranking system that is similar to the VIX and More Focus Aggressive Trader model portfolio – one of the four model portfolios that I update transaction by transaction for newsletter subscribers. At some point later this weekend, I will provide some details about the performance of the subscriber newsletter portfolios.

Finally, I would be remiss in not reiterating that Portfolio A1 was created with tools developed by Portfolio123.com and is managed via Portfolio123.com’s tool set. For more information on Portfolio123.com, please refer to an earlier post on the subject, Portfolio123.com: The Engine Behind Portfolio A1. [For the record, I have no affiliation with Portfolio123.com]

2007 Performance: Portfolio A1 +21.95% (from 2/16/07)

I am official closing the books on 2007 for Portfolio A1 with a 21.95% gain since the portfolio’s February 16^th inception. This performance is 21.07% better than that of the SPX during the same period.

In addition to the usual portfolio summary statistics and equity curve, I have included some additional graphics that should be largely self-explanatory.

[For more information on the technology used to create and maintain this portfolio, check out an earlier post, Portfolio123.com: The Engine Behind Portfolio A1]

Portfolio123.com: The Engine Behind Portfolio A1

A reader asked which tool I used to develop and manage Portfolio A1.

I talked a little about Portfolio123.com’s functionality when I introduced Portfolio A1 back in February, but I probably should have said more about this excellent web site. In a nutshell, Portfolio123.com is a web site that provides a comprehensive set of tools to help an investor develop stock ranking systems (not filters, but systems that rank all stocks based upon user-selected and weighted fundamental and/or technical criteria), backtest those ranking systems, and evaluate ranking systems based upon buying and selling rules established by the user. While many tools and features are available, one of most important features Portfolio123.com offers is high quality portfolio-level backtesting for stock ranking engines in combination with any associated portfolio management rules that users choose wrap around these ranking engines. In addition to backtesting, Portfolio123.com makes it easy for investors to manage and evaluate portfolios in real-time once they have been launched. Portfolio A1 is one such example; I have included a snapshot of one of my earliest efforts below. The more senior portfolio carries the unwieldy name of Bal4d 98S T10, but has been up and running for over three years with excellent results to date.

There are many other tools available in addition to the graphic I have included below; in the future I will highlight some of these tools in the context of Portfolio A1.

I encourage anyone who is interested to investigate Portfolio123.com's functionality, read some reviews, watch some product tours, check out the FAQs and other documentation, and test drive the site with their 14 day free trial.

For the record, I have no relationship with Portfolio123.com other than that of a satisfied customer.

Portfolio A1 Update for 02/25/07

Last week I introduced Portfolio A1, a live mechanical portfolio that I developed and am maintaining at Portfolio123.com.

For those that may be interested in watching the progress of this portfolio in the coming weeks and beyond, it is only appropriate that I talk a little about two predecessor portfolios that I modeled this portfolio after, as I believe the two ancestral relations may provide some clues about the offspring I am babysitting.

The first predecessor portfolio went live on 12/31/04 and uses a very similar stock ranking system and buying setups as Portfolio A1; the largest difference is in the selling rules, which are less restrictive in this portfolio than comparted to Portfolio A1. In the intervening 26 months, this portfolio has returned 94.63% vs. 19.74% in the S&P500. It has also had a maximum drawdown of 20.61% from peak levels during this period. One statistic that is important to note is that the annual turnover in this portfolio is 802%; in other words, the typical stock in this portfolio turns over 9 times ever year or once every 5.8 weeks.

The second predecessor portfolio, which only went live on 8/11/06, is almost identical to the first portfolio in terms of a stock ranking system, but has a slightly tighter set of buying and selling rules -- much more in keeping with Portfolio A1. In its 6 ½ month life span, this portfolio has returned 58.37% vs. 14.58% in the S&P500, with a maximum drawdown of only 7.60%. Because of the tighter buying and selling criteria, this portfolio has posted an annual turnover of 3098% to date, meaning that the typical stock has an average holding period of only 1.6 weeks.

This would be a good place to keep in mind the typical past performance caveats, but I think it is most important to acknowledge that Portfolio A1 is more likely to have annual turnover in the 3000% range, which means substantial transaction costs. As a result, I have dispensed with the $10 commissions for the predecessor portfolios and am using $5 commissions, comparable to those that are available from TradeKing.com (which happens to also have an excellent blog, for those who are interested.)

As luck would have it, Portfolio A1 has no buying or selling transactions this week, as the graph below indicates. Though it is not particularly meaningful at this early date, it is interesting to note that while the S&P500 has been down a small amount since the portfolio went live, Portfolio A1 is already up 2.67% to date and has a 3% cushion on the benchmark. Starting next week, I will provide some commentary on the holdings and on any transactions that may be triggered.

New Feature #2: Portfolio123 Live Portfolio

Despite the “Your One Stop VIX-Centric View of the Universe…” tagline, I hope it will come as no surprise to anyone that I have an investing life outside of the VIX. Frankly, I am of the opinion that where the markets are concerned, it is important to utilize a broad-brush approach, if not a multidisciplinary perspective, as is advocated so eloquently by Michael Mauboussin of Legg Mason Capital Management.

Instead of jumping right in and philosophizing about some broader market subjects, I thought I would set up a real-time example and use that opportunity to shine a little light on Portfolio123. My relationship to Portfolio123 is this: after paying a lifetime membership to Silicon Investor in 1998, it wasn’t until 2004 that I ponied up another subscription fee, this time for Portfolio123.com. I have been a satisfied customer ever since. (For those who may be interested in kicking Portfolio123’s tires a little – and I recommend that you do – Harry Domash reviewed Portfolio123 in 2004 when it was still in beta and again later that year when some additional features and pricing had been rolled out. You can get a good current overview of P123 from their site and dive into the product tours if you want more comprehensive information. Also, Brian at Trade4Cash is one blogger who is already using P123 technology as the engine for some of his trading systems development and presentation.)

Today I am rolling out a live portfolio which I have just developed at P123 and will briefly update and also use as a thought starter of sorts each weekend. The stock selection portion of the portfolio shares some common ancestry with P123’s stalwart Balanced4 stock ranking system. I will provide additional details about the mechanics of this portfolio and system in subsequent weeks. For now, suffice it to say that this is a five stock portfolio that is rebalanced each weekend; the stocks selected below for initial purchases are required to be priced at $10.00 or more at the time of purchase, trade an average of 300,000 shares per day, and have a minimum market capitalization of $250 million.