I have been scanning through Stockopedia’s Screens, looking for interesting shares. What I noticed is that the Winning Growth & Income screen, and Robbie Burns Naked Trader screen have exceptionally low volatility and exceptionally high returns. This is apparent just by looking at the chart. If you want to be more quantitative about it, you can look at the maximum draw-down figure. Both are reasonably low.
Contrast that with the Greenblatt chart, where the line is basically all over the map. The maximum draw-down is 25.2%.
Some extra comments are in order. Although the Greenblatt screen is very volatile, when it rebounds, it tends to do so strongly. Performance has been weak lately, so it may or may not be “due” for a rebound. It’s difficult to tell. Over 6 months the portfolio is down 9.0%, compared with the Footsie of -9.4%. So about par. Over a 3 month period, it is down 6.4%, whilst the Footsie is up 3.0%. Over a 1 year period it is up 4.3%, whilst the Footsie is down 5.2%. It’s difficult to get a handle on when we can expect it to bottom out. Does anyone have any suggestions?
But it does lead to an interesting idea: you can possibly stick with the low volatility strategies through thick and thin, but you may be able to juice returns by trying to load up on a high volatility strategy during periods of under-performance.
I may have a look at other strategies to see what they’re like.
Complete aside: it’s good to see Dart back on the Greenblatt screen. The strange thing is, I was thinking about them the other day, and how I was tempted to just keep them in the Magic Hat portfolio. BTW, it looks like it has broken out of 500p resistance from September. StockRank 100 with a momentum score of 99. I’ve held this badboy since the end of 2013, although I did foolishly topslice at the beginning of the year. What a little cracker this share has turned out to be.
