No. of Recommendations: 3
Jim wrote:
Both variants have beat the market in the first 3 1/3 years after that post when used as suggested. The version requiring a dividend has done a bit better, consistent with the backtest result. That one has beat the S&P in all the rolling 2-year periods since the post so far. (and in 95% of rolling-2-year periods in the last 20 years, by 5.0%/year overall after trading costs, if backtests have any value)
The work you'd have to do:
Buy equal weight 40 stocks, hold for 2 months, calculate the fresh picks and replace any stocks no longer among the top 45 with the highest ranked ones you don't already own. Rebalance the whole thing to equal weight once a year.
Reality will never be as good as a backtest, but I suspect that over the long run you wouldn't do worse than with the index because it's all large cap stocks with lots of cash and high profitability. The short term correlation is pretty high. The correlation coefficient is about 96% at the one month interval.
Are there any commercially available products that do this or something like this? It seems that if we are discussing Roll-your-owns that have good performance but require that much maintenance that there would be a company who does that for you for some tiny fraction of a percent fee. Plus presumably one could have some pretty good data from such an offering to see how well it has actually done in a somewhat reliable way by looking at their materials about the fund.
Just wondering.
R:)
