>>I would like to take a look at the screen you described, I had
trouble finding the Zacks rankings (for free). Where might I find
the info?
Thanks for your excellent posts.
and thanks,
Ben
<<
Zacks #5 is not available for free. Cost is just over $100/year. An
alternative that I am playing with is just picking the lowest RS
stocks in the VL #5 group. Note that history of VL #5 indicates that
it tends to underperform Z #5 as a group.
Here is an update I put together for myself as of Wednesday for the
VL 5/low RS strategy:
On 6/10, Robert Sheard's daily column on Motley Fool
(www.fool.com),discussed the idea of selling short the lowest
relative strength VL stocks with timeliness rank 5. I have
constructed a portfolio based on this idea, and wanted to share
initial results (from the first month).
I sold short $10,000 of each stock at the closing price on 6/10
(except for one stock which closed at the daily high, that stock I
sold short at the day low - in real life you aren't going to be able
to sell short at the day high, since you are normally selling at the
bid). I eliminated 4 stocks because they closed on 6/10 below $5
(BOST, AMI, GOU, and TTX), and one stock because it is a foreign
stock traded in the pink sheets and can't be sold short
(COTTF). Normally you don't sell stocks below $5 short because you
have to put up cash to make the trade.
I also made a portfolio of an equivalent amount of SPYders,
purchased on 6/10 at the close. In principle, you could move
$150,000 to an investment account, purchase $150,000 of SPYders and
then sell short the 15 VL stocks. The real return on this strategy
is the gain from the SPYders plus the gain (or minus the loss) from
the short sales.
Percent change: One month Two months to 8/26
VL reverse RS (short sales) +3.65% +13.3% +20.1%
SPYders +4.60% - 2.1% - 2.4%
Total long/short +9.25% +11.2% +17.7%
Russell 2000 +2.80% - 7.1% -14.7%
(R2000 was at about 446 on 6/10)
In other words, VL Reverse RS portfolio underperformed the Russ2000
by 6.45% in first month, and outperformed the Russ2000 by 0.25% in
the second month, and outperformed the Russ2000 by 0.8% to 8/26, for
a total underperformance of 5.4% over just under three months. |
