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Strategies & Market Trends : Shorting stocks: Broken stocks - Analysis
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To: Q. who wrote (2032)1/4/1999 11:33:00 AM
From: Q.  Read Replies (1) of 2506
 
Here are performance results for the low RS/neg cashflow screen that
I've been posting monthly. Positive numbers mean the stocks went up,
i.e., more negative numbers are better for shortselling.

What is desired here is a more negative performance compared to
the Russell 2000.

screen elapsed time performance Russell 2000 difference

* 12 -42 % - 3 % -29 %
* 11 -38 % - 2 % -36 %
* 10 -39 % - 9 % -30 %
* 9 -31 % -13 % -18 %
* 8 -21 % -13 % - 8 %
6/10/98 7 mos. -36 % - 7 % -29 %
* 6 -23 % - 8 % -15 %
* 5 -20 % + 2 % -22 %
* 4 +27 % + 21 % + 6 %
10/7/98 3 mos. +12 % + 27 % -12 %
11/4/98 2 mos. +22 % + 8 % +14 %
12/8/98 1 mo. +11 % + 5 % + 6 %

* date shown with asterisk are based on Telescan's backtesting today,
which should be the same as the results I would have gotten if I
had recorded the data on the date shown.

Recall that small cap stocks had a peak April 21 a low Oct. 8 98

It looks as if this screen tends to produce a high beta portfolio, maybe
because the stocks tend to be lower priced stocks than those in the Russell 2000.
Whether the RUT is up or down, the screen does the same thing, but harder.

I think that the 1 mo. results are too early to be meaningful.

Bottom line:
Over the test period shown here, it looks like the screen
in general underperforms the RUT, as desired.
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