Folio Management | AAII - Portfolio Performance Screens

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23rd Feb '16 by Investor & Trader

4 comments 5026 reads

Hi,

I notice the best performance screen over the last 15 years is the estimate earnings up 5% screen, are you able to emulate this on the guru screen with backtested data?

Additionally what are the views on this strategy, I could imagine top rank with the 5% est earnings could prove fairly robust?

http://www.aaii.com/stock-screens/performance?sort=total&order=desc

Gary

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Investor & Trader

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Investor, Trader and Financial Educator As a long term investor/trader I have consumed hundreds of financial books and endured countless hours of self education. Hopefully my contribution through my channel will reduce the learning curve duration of many aspiring traders by providing the key information in a concise and enjoyable manner. https://www.youtube.com/channe... more »

4 comments

Investor & Trader

23rd Feb '16

Additionally this is one of the best performing strategies in 2008 when it only lost 18% !

24% annualised is very good?...

How would I create a screen to pick these up, i'm having a blonde moment..

cig

23rd Feb '16

It looks good on a lifetime basis, but then it's non-descript most of the time, e.g. 5 year performance about the same as the S&P 500 (their own numbers). The stellar years were 2009 and 2003, post-crash rebounds.

May be an idea worth noting down for after the next serious crash... otherwise, following rule-based strategies that do nothing for years can be a bit frustrating.

iwright7

24th Feb '16

cig,

By my reckoning the AAII 5% screen hasn't done well for 4 out of 15 years and sure the 2 post crash years have been exceptional, but its averaging a whooping +24% and is still top of the AAII screen leader board after 2 recent very poor years .

I looked at the AAII Upward Revision screen criteria a few years ago which at the time was:

AAII Screen Criteria - Upward Revisions

There are more than 4 analysts providing earnings estimates for the current fiscal year (Y0)
The latest earnings per share estimate for the current fiscal year (Y0) is greater than it was one month ago
The latest earnings per share estimate for the next fiscal year (Y1) is greater than it was one month ago
There has been at least one upward revision in the earnings estimate for the current fiscal year (Y0) over the last month
There have been no downward revisions in the earnings estimate for the current fiscal year (Y0) over the last month
There has been at least one upward revision in the earnings estimate for the next fiscal year (Y1) over the last month
There have been no downward revisions in the earnings estimate for the next fiscal year (Y1) over the last month
The top 30 companies are those that have had the 30 largest % increases in the current-year consensus EPS estimate over the last month
Alternate—Up 5%: Earnings estimates have been revised upward by 5% or more

EPS Est Y0-Number > 4
EPS Est Y0-Revisions Up > 0
EPS Est Y0-Revisions Down Equals 0
EPS Est Y1-Revisions Up > 0
EPS Est Y1-Revisions Down Equals 0
EPS Est Y0-%Rev-Last Month >= 5
EPS Est Y1-%Rev-Last Month >= 5

When I compared this with the Stocko 5% Upgrade screen, (which also takes into account sales growth) I decided that the Stocko screen criteria had more going for it. I don't use the Stocko Upgrade screen in a mechanical way, but do sometimes stock pick from it giving additional preference for +ve RS, high F Score and more recently above 80 Stockrank scores. I am happy with this combi selection method (so far), because it detects +ve market sentiment towards a particular company. Ian

Investor & Trader

24th Feb '16

Thanks for your Insight CIG..

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