|
Style Model
|
Large Value
|
||
|
Sector Model
|
XLF
|
0.47%
|
|
|
Large Portfolio
|
Date
|
Return
|
Days
|
|
TIVO
|
4/23/2014
|
16.74%
|
130
|
|
SHOO
|
4/28/2014
|
-2.80%
|
125
|
|
SR
|
6/2/2014
|
17.30%
|
90
|
|
CFI
|
6/9/2014
|
2.18%
|
83
|
|
RRD
|
7/21/2014
|
10.71%
|
41
|
|
CHFC
|
7/28/2014
|
1.03%
|
34
|
|
ESI
|
8/4/2014
|
-41.09%
|
27
|
|
BSET
|
8/11/2014
|
1.88%
|
20
|
|
STRA
|
8/18/2014
|
3.13%
|
13
|
|
PBI
|
8/25/2014
|
1.31%
|
6
|
|
(Since 5/31/2011)
|
|||
|
S&P
|
Annualized
|
13.03%
|
|
|
Sector Model
|
Annualized
|
25.72%
|
|
|
Large Portfolio
|
Annualized
|
24.17%
|
Rotation: selling TIVO; buying CLF.
The Sector Model continues to beat both the S&P and the
back-test benchmark:
That said, my focus is on the Full Model. The returns for the Full Model are not
supposed to be close – but substantially better – than the Sector Model. The fact that it has NOT outperformed, but
merely averaged 24% for the past 3 ½ years is because of uneven fundamental
experiments.
The newest result of those experiments is a curious trade:
CLF.
CLF has been falling off of a cliff for a good while
now. The chart is back down to its 2008
bear market lows. Immediate fundamentals
are skewed as well: high P/E and low return on Total Capital would scare
Greenblatt away.
However, the earnings and profit margin are accelerating,
and the current ratio isn’t so bad. The
price to book value is 0.52.
In other words, it has some signs of life, but in a worst
case scenario, it’s worth even more dead than alive.
Eh, typical value play.
I’ll hold my nose when I buy it, though.
Tim
No comments:
Post a Comment