The 12 month opportunity cost of a screen losing....

One way to fight the psychology of this sort of thing is to keep in mind a couple of things: opportunity cost vs real cost, and a chosen screen losing to the SP500 but still having a positive return and a screen losing to the SP500 and having a negative return.

Opportunity costs are just that--purely paper and not actual.

The more important difference, though, in dealing with the pitty-patting heart is keeping in mind whether the chosen screen is losing money or making money. Losing money over an extended time: what defines "extended?" That's a real rub, but it's easier--or more imperative--to dump a heretofore stable, in some sense, screen that has been losing money for that "extended" period. A highly volatile screen might want a little more patience (though not too much, and these kinds of screens badly want "extended" defined before going into it, along with what constitutes the biggest loss to be tolerated).

A chosen screen that continues to make money even though losing to the SP500 can handle quite a bit more patience while still looking for something better. This, though, is a matter of "better is the enemy of good enough." Keep looking for better, certainly, but don't bail on the good enough until you find that better.

In any event, what I wrote earlier in this thread: don't bet the whole pile on the chosen screen.

Eric Hines