I have noticed that James Mortimer's short selling strategy has performed very well over the last three years, but my question is, how does this compare with a strategy of shorting the lowest decile of Stock Ranks? Is there a way of getting this information through back testing?
Which screen are you looking at because there are 3 James Mortimer ones?
To compare with SR you can go to performance and pick the bottom decile.
I have always wanted to establish a short selling portfolio but always struggled to get going. I also was interested in the long term impact on performance, I could imagine it dampers vol but reduces overall returns over time, as you are betting against lots of positive market factors such as time value of money, inflation etc.
I think you'll find that the strategy is performing terribly. If you're looking at the guru screen performance a successful performance would produce a strong negative return rather than the strong positive one.
I hope that helps
Phil
Actually just noticed that Montier has several short selling screens with a variety of returns ...
Trinity of risk +126%
Cooking the Books -26%
Unholy Trinity -42%
Thank you, it was the Trinity of risk that I was looking at. My thought was that if you had a portfolio of that bought the top decile of SR, while also shorting the bottom decile, Could this strategy balance the portfolio to an extent, so that it would not be as sensitive to the which way the market goes?
Trinity of Risk screen has performed very poorly as a shorting screen. Shorting lots of shares could be difficult, not all are available and some have wide spreads, I think you are better off shorting just a few or an index such as the FTSE250. I have shorted the FTSE 250 in the past, I find that much easier.
