Please be responsible for your own actions and words, and avoid blaming others or making excuses for your behavior. If you make a mistake, apologize and take steps to correct it.
- Manlobbi
Investment Strategies / Mechanical Investing
No. of Recommendations: 4
Out of date maybe can follow up with Mar-2024 version later.
Long-term Performance
Comparisons by Factor
Apr-4-2024 11:29 AM ET
ISHARES ISHARES ISHARES ISHARES ISHARES
USA MSCI USA MSCI USA MSCI USA MSCI USA
EQUITY MOMENTUM QUALITY SIZE VALUE
Name FACTOR FACTOR FACTOR FACTOR FACTOR
Issue type ETF ETF ETF ETF ETF
Market price $53.82 $189.06 $163.79 $141.37 $107.48
Apr-4-2024 Apr-4-2024 Apr-4-2024 Apr-4-2024 Apr-4-2024
Market total return (1 year) 30.15% 32.84% 36.83% 16.89% 12.96%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (3 years) 11.93% 5.17% 12.79% 7.26% 5.20%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (5 years) 12.61% 12.02% 14.82% 11.01% 7.83%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (10 years) -- 12.68% 12.78% 10.75% 8.28%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Premium / discount (1 year avg.) 0.01% 0.00% 0.01% 0.00% 0.00%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Beta (month-end 3 years) 0.98 0.93 1.06 1.01 0.93
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Standard deviation (month-end 3 years) 17.48 19.33 18.92 18.6 18.78
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Sharpe ratio (month-end 3 years) 0.58 0.21 0.59 0.32 0.22
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Alpha (month-end 3 years) 0.26 -5.25 0.42 -4.3 -5.32
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
R2 (month-end 3 years) 97.61 72.67 97.9 92.22 76.42
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
GD_
No. of Recommendations: 5
Ranking by 1, 3 & 5 TR
Long-term Performance
Comparisons by Factor
Apr-4-2024 11:29 AM ET RANK 1 RANK 2 RANK 3 RANK 4 RANK 5
QUAL LRGF MTUM SIZE VLUE
ISHARES ISHARES ISHARES ISHARES ISHARES
MSCI USA USA MSCI USA MSCI USA MSCI USA
QUALITY EQUITY MOMENTUM SIZE VALUE
Name FACTOR FACTOR FACTOR FACTOR FACTOR
Issue type ETF ETF ETF ETF ETF
Market price $163.79 $53.82 $189.06 $141.37 $107.48
Apr-4-2024 Apr-4-2024 Apr-4-2024 Apr-4-2024 Apr-4-2024
Market total return (1 year) 36.83% 30.15% 32.84% 16.89% 12.96%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (3 years) 12.79% 11.93% 5.17% 7.26% 5.20%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (5 years) 14.82% 12.61% 12.02% 11.01% 7.83%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (10 years) 12.78% -- 12.68% 10.75% 8.28%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
GD_
No. of Recommendations: 3
I have had a bad experience with Multi Factor ETFs. I bought the ones that morningstar recommended, and the all underperformed the market by a lot. Not only that, but they changed their methodology while I was an owner.
Very disappointing.
No. of Recommendations: 0
Try VUG. Or QQQ or QQQE
No. of Recommendations: 1
I have had a bad experience with Multi Factor ETFs. I bought the ones that morningstar recommended, and the all underperformed the market by a lot. Not only that, but they changed their methodology while I was an owner.
Just to be clear the only Multi-factor ETF included here was LRGF(equity only). Target funds with multi-assets of course will never outperform.
GD_
No. of Recommendations: 1
Try VUG. Or QQQ or QQQE
Been there done that.
Lost my A.. early on (2000 I think), just kept thinking that Nas would come back and added on for the Worst losses ever experienced.
GD_
No. of Recommendations: 0
I had intf, largf, and mtum. Lost on all of them versus the s and p.
No. of Recommendations: 11
If you want to do a multi-factor, why not try one Jim has mentioned many times.
"Using a broad market index (like S&P500 or VL1500 or Russell 1000)
Or using the Value Line ~1500 stocks with any Timeliness.
Take only the 90% of the stocks closest to their 52-week high.
(Drop the lowest 10%)
Take the top 100 by ROE ...
and those with earnings >0 and book value is < 0.
then of those, top 25 by 5 Yr sales Growth.
Re-evaluate and/or rebalance every 1 or 2 or 3 or 6 months.
Optional tweak, 15 HTD 25 or 25 HTD 30."
I've been running a 1 month screen of this since January 2021.
Total return 52.2% vs 40.6% for SPY
Average turnover is 4-5 stocks per month. I don't rebalance, just re-evaluate.
No. of Recommendations: 1
book value is < 0.
Do you mean book value > 0?
No. of Recommendations: 1
If you want to do a multi-factor, why not try one Jim has mentioned many times.
Actually I have similiar screens in my portfolio. Just not fully invested.
The truth is that current events have me spooked and expect "things" may fail in the near future.
I was working in Venezuela(and others) during the 80s or 90s and experienced how "things" fall apart.
GD_
No. of Recommendations: 4
Do you mean book value > 0?No.
"and those with earnings > 0 and book value is < 0."
IIRC, the rationale was that BV < 0 means that the company has had such financial success that its book value has gone negative. Of course, it could be a troubled company, so you want to only look at one that have positive earnings.
Here is an article:
https://www.osam.com/Commentary/negative-equity-ve..."Negative equity companies are often written off as distressed, but after reporting negative equity, most of them survive for years and have, as a group, outperformed the market 57% of the time. in rolling 3 years periods from 1993 to 2017."
No. of Recommendations: 0
I like the screen a lot. Which do you use.
1. rebalance every 1 month?
2. rebalance every 2 months?
3. rebalance every 6 months?
And do you do 25 HTD 30?
Finally a screen that really works.
No. of Recommendations: 0
Sorry, did not read it carefully.
I see you do it monthly.
No. of Recommendations: 0
What screener do you use? I hear that Finviz is very good.
No. of Recommendations: 8
I do not rebalance, let the winners (and, sigh, the occasional loser) run. I don't want to trim the winners, and the losers generally drop off in a month or two.
I run the screen every month, trading on the first. 25 HTD 30.
For April there was only 1 stock that changed. Sold one, bought one. In March, 7 sells and 11 buys. (7 full and 4 underweight)
Despite the HTD, there are sometimes a stock that keeps dropping out and in.
FWIW, here is are my current holdings and their gains. I don't bother to keep track of the trade dates, this is in an IRA at M1 Finance. When a profitable stock is sold, some of its proceeds gets distributed to the stocks that are underweight, so many of the stocks have been bought several times.
Symb Gain %
ADSK 16.91%
ATKR 26.37%
BRBR 11.01%
CELH -0.72%
CHDN -3.62%
CMG 20.24%
CROX 9.13%
FTNT 2.53%
IBP 44.65%
KLAC 101.90%
LNG -5.36%
LPLA 10.76%
LYV 6.93%
MCHP 8.96%
MEDP 105.47%
MSCI -2.82%
NRG 40.86%
NVDA 78.86%
PARR 17.32%
QLYS -9.03%
TDG 0.57%
TPX -2.51%
TSCO 8.99%
WING 45.96%
WMS 31.41%
No. of Recommendations: 2
What screener do you use?
My own custom Linux scripts. Data downloaded from barcharts and VL.
No. of Recommendations: 0
Okay.
Thanks a lot.
I am glad it is working for you.
So many things don't work.
No. of Recommendations: 3
Take the top 100 by ROE ...
and those with earnings >0 and book value is < 0.
then of those, top 25 by 5 Yr sales Growth.
Re-evaluate and/or rebalance every 1 or 2 or 3 or 6 months.
Optional tweak, 15 HTD 25 or 25 HTD 30."
That seems to be working very nicely for you. Congrads.
Running a ROE ... screen in a taxable account needs to account for trading Dates.
This is what I did using Fidelity Baskets and Screener.
Top 30 by ROE ... Buy 15 HTD 20
Create 3 baskets hold 5 per basket.
Update one at a time monthly hold/replace 5 and hold 3 Months.
This method had a name back in the day.
Not rebalance either but that option is available.
GD_
No. of Recommendations: 2
As promised updated with Mar-2024 data.
Ranking by YTD, 1, 3Yr TR 1.0 2.0 3.0 4.0 5.0
Basic facts and Performance
Comparisons by Factor
As of Apr-09-2024 11:39:22 AM ET
Symbol MTUM QUAL LRGF SIZE VLUE
Sponser ISHARES ISHARES ISHARES ISHARES ISHARES
Asset class MSCI USA MSCI USA USA MSCI USA MSCI USA
Objective MOMENTUM QUALITY EQUITY SIZE VALUE
FACTOR FACTOR FACTOR FACTOR FACTOR
Issue type ETF ETF ETF ETF ETF
Market price $184.84 $161.32 $53.03 $139.58 $105.70
Apr-9-2024 Apr-9-2024 Apr-9-2024 Apr-9-2024 Apr-9-2024
Schedule K-1 No No No No No
Asset class U.S. Equity U.S. Equity U.S. Equity U.S. Equity U.S. Equity
Market total return (YTD) 19.52% 11.95% 11.79% 8.31% 7.76%
Market total return (1 year) 36.11% 34.19% 31.86% 22.61% 20.15%
Market total return (3 years) 6.60% 12.00% 11.50% 7.41% 4.80%
Average() 20.74% 19.38% 18.38% 12.78% 10.90%
Mar-31-2024 Mar-31-2024 Mar-31-2024 Mar-31-2024 Mar-31-2024
Net expense ratio 0.15% 0.15% 0.08% 0.15% 0.15%
Mar-1-2024 Dec-1-2023 Dec-1-2023 Dec-1-2023 Dec-1-2023
Tracking error 8.78 2.06 1.58 6.46 7.94
Efficiency -- -- -- -- --
Concentration risk 42.93 39.82 29.15 3.11 34.05
GD_
No. of Recommendations: 3
This method had a name back in the day.
A "Dozens" scheme. (Although I believe the original version was to do 12 monthly variants - That's why Dozens.)
Tails
