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Strategies & Market Trends : Shorting stocks: Broken stocks - Analysis

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To: mortwald who wrote (2323)5/9/1999 10:34:00 AM
From: Vol  Read Replies (1) of 2506
 
Mort, there is a -432% in your data.

I saw it again while studying the data. If you remove this return the average quarterly return drops from 11% to 8.8%. Still nothing to sneer at. Compounded, this is 40%/yr, not counting for slippage and commissions. With most of these stocks having prices around 5-8, slippage could easily cost 2% per quarter. This is assuming losing 1/16 per trade. Could be more, depending on the broker. If we plug in 6.8%/qtr that gives us 30%/yr.
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