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Strategies & Market Trends : Greenblatt's Little Book That Beats The Market
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To: Paul Senior who wrote (98)3/1/2006 10:55:15 PM
From: Shane M   of 218
 
Paul, I've pretty much adopted your position of selecting from the best "quadrant" and going from there. Some of the stocks at the extreme high end of the list can be pretty flakey anyhow due to special events, so "close enough" is going to be my starting point.

I set up several Greenblatt strategy tracking funds on marketocracy.com to see how things perform over time

Here's the Mid-Large cap test (over $1.5B - no upper limit)
marketocracy.com

Here's the Small-Midcap test (400M to $5B)
marketocracy.com

Here's the Micro-Small cap test (under $1.5B)
marketocracy.com

For a price basis
SVB - Large/Mid fund price was 10.53 yesterday
SVA - Mid/Small fund price was 11.21 yesterday
SVC - Small/Micro fund price was 10.94 yesterday

When I run these tests I normally just set the funds up and don't make changes for an extended period of time to test how a buy/hold strategy on a methodology works. With previous Buffetology tests it seems it's best to rebalance and reallocate after around 6 months, so I plan to keep an eye on relative performance over time and may readjust if it seems warranted - but want to try to do the same thing to all 3 funds at the same time if I make changes for apples/apples comparisons.

All historicals are from 3 tests of different screening methods. Just changed to the Greenblatt methods over last couple of days. Here are the stocks selected


	Large/  Mid/    Small/
	Mid    Small	Micro
1	ACN	ACTS	ACTS
2	AEOS	AEOS	AMPH*
3	ANF	BMHC	AMPX*
4	AVP	CECO	BMHC
5	AZN	DECK	CESV*
6	AZO	DPZ	CTGI
7	BTI	DWA	DECK
8	CECO	ELNK	DLX
9	DPZ	ENDP	ELNK
10	DWA	FRO	FORD
11	ENDP	GAP	GAP
12	FCX	HW	GEAC
13	FDG	IPS	HFIT*
14	FRO	JOR	IIG
15	HDI	KOSP	IIN*
16	HW	KSWS	JOR
17	IPS	LSS	KSWS
18	KOSP	MVL	MTEX
19	LSS	NWY	NWY
20	MMM	NX	POS
21	MVL	PII	PPD
22	NUE	POS	RCNI
23	NX	PPD	RESC
24	PCU	PSUN	RNWK
25	PII	RCNI	SRCP
26	PSUN	RNWK	SVL
27	TBL	TBL	TNH
28	THO	THO	TUES
29	UST	TNH	UNTD
30		TUES	WLDA*
31		XJT	XJT


*- some of the microcap buy orders have still not filled in the simulation (they only use a fraction of daily trading volume to fill trades), and a couple haven't bought at all - so I may have to substitute a couple of other stocks here.

I selected from a stock list based on Greenblatt's ranking based on mkt caps. I didn't research any of them other than prefering companies on the list having better return on total capital (income / equity_LTdebt) and couple other factors - a fairly mechanical approach, but not entirely mechanical.

Interested to see how this plays out over the next year or so.
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