As part of my year end review, I wanted to audit my monthly quantitative screens from 2014. This is a good exercise to help me refine my portfolio management tools and skillset. In particular, this helps me appraise the efficacy of a pure, fully-automated, algorithmic quant system on one end of the spectrum vs. fully-discretionary on the other. As my approach is more hybrid, this self-appraisal gives me valuable information to optimize decisions regarding holding period, entry/exit tactics, slippage, etc.
First, a couple notes…
My lists have included a number of buyout targets who were acquired via M&A, so ytd data may be affected by lack of performance data from delisted securities.
In addition, I’ve documented every monthly screen’s output within this Diary. [Tag: “Quantitative“] Further, I’ve documented all trade activity in real time via my Squawk Box, with some activity echoed in certain entries herein. [Tag: “Trades“]
The 2014 results from each of my regular screens are presented below–Core Value and Low/Negative Enterprise Value, respectively. I’ve included data for both absolute returns (ex-dividends) and relative alpha (over $SPX) over the 1-month, 1-month annualized, and year-to-date starting from each screen’s output date. I’ve also displayed both average (mean) and cumulative return for each holding period, where applicable, including absolute return, alpha, and sigma (i.e. volatility/standard deviation).
Finally, I’ve added an illustration of our open positions, showing the total return and alpha to date (over SPX from trade date). In 2013, we did not close/realize any positions sourced from quant screens, so everything exhibited is unrealized.
The data includes months in which I did not post an output for a specific screen because the filter yielded substantially similar results as the preceding month, as disclosed at that time. These cells have been left blank and excluded from average/cumulative calculations…
Low/Negative Enterprise Value
^Core Value screen upgraded from version 2.0 to 3.0 in February 2013
*December’s “ytd” data are month-to-date
Mentions: $ARII $BMA $FL $FXCM $GCO $HCI $IBKR $JOSB $SMP $VMI