Wednesday, January 2, 2013

01/02/2103 Performance Graphs for 2012

The year 2012 included a number of developments for the Full Mousetrap model, while the Sector model outperformed:

I’ve started each line with a value of 100, so that the percentages can be easily seen between SPY, the Sector model, and the Full Mousetrap.

The actual numbers for 2012 are:



For the entire 5/31/2011 through 12/31/2012 period, however, the Full Mousetrap outperformed:

 The actual numbers for the entire period are:



I’ve also pointed out on this graph the changes in the fundamental filters I used in the Full Mousetrap.  For the first year it labored under a Greenblatt filter that did not work well with the technical aspects of the model.

On 6/15/2012 I changed to a more robust Graham style filter, which created a significant improvement.

(Both the Greenblatt and Graham filters are defined on, which I used as a benchmark in early testing).

Finally, on 10/31/2012 I initiated a self-adaptive fundamental filter to progressively fine tune the fundamentals that work best with the model, and it appears to be working better than the two previous static filters.  Hopefully that trend will continue.



  1. Hi Tim, these are solid numbers. I'd be interested to see the Mousetrap performance (including portfolio turnover) to Validea's Ben Graham portfolio performance for 2012 (

  2. Hi Trader D, thanks for the link!

    I'm a real fan of the work they do at Validea.

    They didn't count dividends, and I did, so I need to convert their S&P's 13.4% to my SPY 15.99%. That's about 2.59% to add to their numbers to account for dividends, adjusting their 33.8% to 36.39%, and their 31.9% to 34.49%.


    SPY 15.99%
    Sector 38.75%
    Mousetrap 34.60%
    Validea's best 36.39%
    Validea's second best 34.49%

    2013 will be an interesting test since I've developed my own custom fundamental filter now.

    You can see why I needed to develop my own fundamentals, since the technical-only sector model did just as well as my technical-fundamental model (which is NOT my goal).


  3. Oh -- forgot turnover. I don't know how many stocks they blew through on their model, but I hold 10 stocks and rotate 1 a week, which is a rather aggressive turnover rate.

  4. Hi Tim, thank you for the quantitative reply!

    What would be an appropriate benchmark in 2013, would you compare to a subset or all of the Validea models? Since taxes are such a significant component of total return, I would be interested to see post-turnover performance numbers, making reasonable assumptions about effective tax rates.

  5. Value Investor 20 stocks 10 stocks
    Yearly 15.80% 29.00%
    Quarterly 20.20% 19.80%
    Monthly 31.90% 33.80%

    Add Dividends
    Value Investor 20 stocks 10 stocks
    Yearly 18.39% 31.59%
    Quarterly 22.79% 22.39%
    Monthly 34.49% 36.39%

    Cut Taxes
    Value Investor 20 stocks 10 stocks
    Yearly 15.63% 26.85%
    Quarterly 15.95% 15.67%
    Monthly 24.14% 25.47%

    Raw Taxed
    Sector 38.75% 27.13%
    Mousetrap 34.60% 24.22%

    The Validea models have SIX different versions apiece: 20 and 10 stock bases each at Yearly, Quarterly, and Monthly rebalancing.

    To compare to my numbers I added 2.59% in dividends (average from SPY versus S&P index), and then cut the yearly rebalanced portfolios by 15% taxes and the quarterly and monthly by 30%.

    I then cut mine by 30% short term tax rates.

    My sector model had a pretty good year, and beat all six versions of their Value Investor portfolio.

    My full Mousetrap beat 4 out of the 6.

    I’m hoping it will do better in 2013 with the adaptive fundamentals. We’ll see.


  6. Apologies for the formatting problem. Bottom line is:

    Value Investor models, plus dividends, minus taxes
    10 stocks year 15.63%
    10 stocks quarter 15.95%
    10 stocks month 24.14%
    20 stocks year 26.85%
    20 stocks quarter 15.67%
    20 stocks month 25.47%
    average 20.62%

    My models after taxes
    Sector model 27.13%
    Mousetrap model 24.22%
    average 25.67%

    That might be easier to read.