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Strategies & Market Trends : Shorting stocks: Broken stocks - Analysis
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To: s berg who wrote (2202)4/17/1999 10:51:00 PM
From: Vol  Read Replies (2) of 2506
 
QI Small Cap Shorting Screen

Rule1=PriceTrading > 5
Rule2=PBook.FY > 3
Rule3=PSales.FY > 2
Rule4=(Cash.FY / MCap.FY) lowest% 20
Rule5=RelStr < 20
Rule6=MCap.FY lowest 5

semiannual screen - Apr and Oct, 26 week hold, 12 week lag
Stocks, no ADRs, all companies

Row Buy Date Return/vs S&P/# Bought/Losers/% Losers/StdDev
1 1998 Apr -68.4% -57.7% 5 5 100.0% 18.5
2 1997 Apr 11.9% -15.3% 5 2 40.0% 54.2
3 1996 Apr -7.3% -14.3% 5 3 60.0% 28.3
4 1995 Apr 6.5% -8.5% 4 2 50.0% 23.6
5 1994 Apr -10.8% -14.6% 5 3 60.0% 24.9
6 1993 Apr -0.2% -4.7% 5 2 40.0% 24.3
7 1992 Apr -41.8% -44.0% 5 5 100.0% 11.1
8 1991 Apr -0.3% -1.9% 5 3 60.0% 14.1
9 1990 Apr -24.9% -16.5% 4 3 75.0% 23.1
10 1989 Apr -9.7% -30.4% 3 2 66.7% 21.2
11 1988 Apr 11.1% +6.0% 5 2 40.0% 38.0
12 1987 Apr -20.8% -30.0% 3 3 100.0% 7.1
13 1986 Apr -5.8% -8.0% 3 2 66.7% 26.3
14 1985 Apr -16.5% -18.9% 2 2 100.0% 21.1
15 Compound -16.2% -21.6%
16 Mean -12.6% -18.5% 4 3 68.5% 24.0
17 StdDev 21.7% 17.1%

Row Buy Date Return/vs S&P/# Bought/Losers/% Losers/StdDev
1 1998 Oct 18.8% -10.2% 5 2 40.0% 44.5
2 1997 Oct -7.8% -24.2% 5 3 60.0% 62.5
3 1996 Oct -12.7% -20.8% 5 5 100.0% 12.4
4 1995 Oct -12.3% -25.0% 5 3 60.0% 21.3
5 1994 Oct -23.3% -34.6% 5 4 80.0% 29.5
6 1993 Oct 0.3% +3.7% 5 3 60.0% 31.7
7 1992 Oct 3.2% -4.3% 5 2 40.0% 17.4
8 1991 Oct -4.5% -9.8% 4 2 50.0% 22.5
9 1990 Oct 20.9% +0.4% 2 1 50.0% 37.2
10 1989 Oct 0.2% +5.4% 5 2 40.0% 54.5
11 1988 Oct -19.1% -26.0% 5 5 100.0% 13.2
12 1987 Oct -5.2% +15.9% 4 3 75.0% 32.4
13 1986 Oct 24.8% -3.7% 5 1 20.0% 22.0
14 1985 Oct -32.0% -56.8% 1 1 100.0% 0.0
15 1984 Oct 12.6% +2.5% 3 0 0.0% 13.0
16 Compound -3.7% -13.0%
17 Mean -2.4% -12.5% 4 2 58.3% 27.6
18 StdDev 16.6% 18.8%

I compared vs. Russell 2000 (RUT) for each 6 month period.

returns: RUT short
Oct-98 9.36% 18.80%
Apr-98 -24.36% -68.40%
Oct-97 5.78% -7.80%
Apr-97 32.65% 11.90%
Oct-96 -1.10% -12.70%
Apr-96 4.72% -7.30%
Oct-95 6.57% -12.30%
Apr-95 19.10% 6.50%
Oct-94 1.75% -23.30%
Apr-94 2.02% -10.80%
Oct-93 -0.75% 0.30%
Apr-93 10.36% -0.20%
Oct-92 18.82% 3.20%
Apr-92 -5.30% -41.80%
Oct-91 13.07% -4.50%
Apr-91 5.34% -0.30%
Oct-90 34.94% 20.90%
Apr-90 -22.54% -24.90%
Oct-89 -8.18% 0.20%
Apr-89 12.87% -9.70%
Oct-88 5.90% -19.10%
Apr-88 4.89% 11.10%

AVG 5.72% -7.74%
STDEV 14.16% 20.00%

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