In a post in late November last year, Testing the performance of price-to-book value, I set up a hypothetical equally-weighted portfolio of the cheapest price-to-book stocks with a positive P/E ratio discovered using the Google Screener, which I called the “Greenbackd Contrarian Value Portfolio“. The portfolio has been operating for a little over 4 months, so I thought I’d check in and see how it’s going.
Here is the Tickerspy portfolio tracker for the Greenbackd Contrarian Value Portfolio showing how each individual stock is performing:
(Click to enlarge)
And the chart showing the performance of the portfolio against the S&P500:
[Full Disclosure: No positions. This is neither a recommendation to buy or sell any securities. All information provided believed to be reliable and presented for information purposes only. Do your own research before investing in any security.]
G,
wondering your thesis on Jackson Hewitt (JTX).
Thanks,
Xuzhu
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As one other observer has already noted, most of the losses came from the shipping companies.
It’s possible to improve significantly on the usefulness of this screen by adding one parameter: exclude companies that don’t have current quarterly or annual reports available on the SEC’s website — e.g. if the most recent financial report is for a period ending more than five months previous, exclude the company from consideration.
(1) this simple parameter eliminates most (or possibly all) of the shipping companies since, as foreign issuers, they are only required to file SEC annual reports, and are not required to file the quarterlies at all.
(2) this would also have resulted in the elimination of KV.A from consideration, since at the time the screen was run, KV.A was several quarters delinquent in its SEC filings and, after bringing those filings current as the company did recently, the stock price went into a tailspin.
Just passing it along for what it’s worth.
hh
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Hi G:
I was looking at the names in red…most of them are dry bulk shipping, Greek Companies.
I wonder if these are down due to the “Greece Effect” or if dry bulk fundamentals are really that bad.
Any way, something to look into as this may be an overly beaten down sector. To us value guys (for better or for worse) the downtrodden are always of more interest than the mighty.
Thanks for the post!
FF
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DHT is also a shipping play, although its ships are “very large crude carriers.” I agree that there must be something worthwhile in this sector.
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uhh….. seems a little obvious but forward testing shows that it works more convincingly? as you highlighted also removes and risk of accidentally adjusting your parameters to fit past market conditions.
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Slightly more convincing, but not much more with a criteria that is this simple? How much more convincing is highly based on personal opinions. It is a question of much do you want to believe in the model and so valuing this information can also suffer highly from confirmation bias.
If we saw nagitive returns in these results a person who wants to believe this model works can easily dismiss the results by say it was tested in too short a time frame.
I just don’t know how to put a value on the information that is gain over the information known from backward testing.
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What extra information do we gain from foward testing that we don’t get from backwards testings?
If there is confirmation bias in the selection of stock selection criteria then forward testing would help detect this bias. But, I think it is safe to say that this the simple low p/b and positive p/e criteria suffers from confirmation bias?
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correction: does not*
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nice!!
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