- Small Cap Discoveries
- Mid Cap Flyers
- CANSLIM Growth
- Large Cap Stalwarts
- BI-Weekly Swings
- Quant Alpha’s
Model Portfolio Small Cap Discoveries
The Small Cap Discoveries portfolio is made up of 20 to 30 stocks. It consists of three separate strategies used together to get a good cross section of Small and Micro Cap stocks. The criteria used is Earnings per share (EPS) and related data concerning EPS to identify positive trends such as upside, surprises, magnitude, and consensus metrics. In addition Relative Strength, Price/Sales and Price/Book are examined.
The type of stocks will generally be Small and Micro cap. The monthly turnover will be around 45% of the stocks being replaced each month. All stocks will be added equal weight.
The IJR ETF (iShares Core S&P Small-Cap ETF) has been chosen to be the benchmark to compare the results of this Model Portfolio to.
These type of stocks have a limited liquidity, so extreme caution should be used when making market orders. Minimum Liquidity constraints have been included in the criteria for selection from the software package to only pass thru investable stocks.
Since these are smaller companies, there is no way one would be able to continue to roll forward the dollar amounts from month-to-month over many years. Eventually, the dollar value for each transaction would be too large for these stocks to handle with market orders. So the results shown in the backtest could never have been achieved in the real world but this is a great example of the power of compounding high returns over many years.
BackTest – The Backtest for this Portfolio outperformed the IJR benchmark in 15 out of the 19 years tested. It underperformed in years 2008, 2015, 2017 and 2019. When the Portfolio outperformed, it was usually by a wide margin. The best year was 2009 when it was up by 127%.
See the Small Cap Discoveries Portfolio Detail Here
This is a theoretical portfolio and the results presented are not from a real money portfolio. DISCLAIMER
Model Portfolio Mid-Cap Flyers
The Model Portfolio is made up of 18 to 21 stocks. The criteria used is that firstly, the stocks are in the Mid Cap universe of stocks. This is defined as having a Market Capitalization between $1 Billion and $12 Billion. The vast majority of the stocks selected should be in that range. Secondly, Earnings per share (EPS) and related data concerning EPS to identify positive trends such as upside, surprises, magnitude, and consensus metrics is used.
The monthly turnover will be around 65 to 70% of the stocks being replaced each month. All stocks will be added equal weight.
The MDY ETF (SPDR S&P MIDCAP 400 ETF Trust) has been chosen to be the benchmark to compare the results of this Model Portfolio to.
These type of stocks have excellent liquidity. Minimum Liquidity constraints have been included in the criteria for selection from the software package to only pass thru investable stocks.
BackTest – The Backtest for this Portfolio outperformed the MDY benchmark in 15 out of the 19 years tested. It underperformed in years 2014 and 2019. It was largely even with the benchmark in 2008 and 2015. When the Portfolio outperformed, it was usually by a significant margin. The best year was 2005 when it was up by 46%.
See the Mid Cap Flyers Portfolio Detail Here
This is a theoretical portfolio and the results presented are not from a real money portfolio. DISCLAIMER
Model Portfolio CANSLIM Growth
The Model Portfolio is made up of 19 to 22 stocks. The criteria used to select the stocks is using the CANSLIM approach. CANSLIM represents the seven characteristics that top-performing stocks often share before making their biggest price gains. Not all the characteristics are being used since some of them are subjective or I cannot backtest. The criteria used is Earnings per share (EPS) and related data concerning EPS to identify positive trends such as upside, surprises, magnitude, and consensus metrics. In addition, Return on Equity and Sales increase are also used.
The type of stocks will generally be 2/3 Small Cap stocks with 1/3 larger than Small Cap. The monthly turnover will be around 30% of the stocks being replaced each month. All stocks will be added equal weight.
The BSMAX (iShares Russell Small/Mid-Cap Index Fund) has been chosen to be the benchmark to compare the results of this Portfolio to. According to MorningStar, this fund has about 1/3 Mid-Cap and 2/3 Small Caps in it.
These type of stocks have good liquidity. Minimum Liquidity constraints have been included in the criteria for selection from the software package to only pass thru investable stocks.
BackTest – The Backtest for this Portfolio outperformed the IJR and MDY benchmarks in 18 out of the 19 years tested. It was largely even with the benchmark in 2018. When the Portfolio outperformed, it was usually by a wide margin. The best year was 2013 when it was up by 46%. BSMAX does not go back to year 2004 so it could not be used for a backtest.
See the CANSLIM Growth Portfolio Detail Here
This is a theoretical portfolio and the results presented are not from a real money portfolio. DISCLAIMER
Model Portfolio Large Cap Stalwarts
The Model Portfolio is made up of 10 to 20 stocks. First, the software checks if the stocks are listed in the S&P 500 index. Then, it analyzes the most recent earnings data to identify positive trends such as upside, surprises, magnitude, and consensus metrics.
The type of stocks will generally be 90% Large Cap stocks with 10% Mid Cap stocks. The monthly turnover will be around 50% of the stocks being replaced each month. All stocks will be added equal weight.
The RSP ETF (Invesco S&P 500 Equal Weight ETF) has been chosen to be the benchmark to compare the results of this Model Portfolio to. Since the Portfolio is largely made up of large cap stocks and the Portfolio is always equal weight each selection, a Large cap equal weight index is the right choice.
These type of stocks have excellent liquidity. The stocks are sizable and heavily traded.
BackTest – The Backtest for this Portfolio outperformed the RSP benchmark in 12 out of the 19 years tested. It underperformed in years 2008, 2009, 2011, 2013, 2018 and 2020. It was largely even with the benchmark in 2010. When the Portfolio outperformed, it was usually by a significant margin. The best year was 2017 when it was up by 44%.
See the Large Cap Stalwarts Portfolio Detail Here
This is a theoretical portfolio and the results presented are not from a real money portfolio. DISCLAIMER
Model Portfolio BI-Weekly Swings
The BI-Weekly Swings Portfolio is made up of 15 to 21 stocks. It is updated every two weeks. It consists of three separate strategies used together to get a good cross section of Mid Cap, Small Cap and Micro Cap stocks. Two of the strategies are also used in the monthly Model Portfolio area and are being used here because they perform especially well with the two week update cycle. The third strategy is new to this website. The criteria used is Earnings per share (EPS) and related data concerning EPS to identify positive trends such as upside, surprises, magnitude, and consensus metrics. In addition, Return on Equity (ROE), change in EPS, change in Sales, Relative Strength and Price to Sales are used.
The type of stocks will generally be Mid-Cap, Small and Micro cap. The monthly turnover will be around 35% of the stocks being replaced every two weeks. All stocks will be added equal weight. The composition is about 1/3 Mid-Cap with 2/3 being Small and Micro Cap.
The BSMAX (iShares Russell Small/Mid-Cap Index Fund) has been chosen to be the benchmark to compare the results of this Portfolio to. According to MorningStar, this fund has about 1/3 Mid-Cap and 2/3 Small and Micro Caps in it.
Since this is a high Turnover Portfolio that needs adjustments every two weeks, all strategies used had the liquidity requirements in the selection criteria raised substantially to only pass very liquid of stocks.
BackTest – The backtest for this Portfolio outperformed the IJR and MDY benchmarks in 15 out of the 19 years tested. It underperformed in years 2008, 2011 and 2019. It was largely even with the benchmarks in 2017. When the Portfolio outperformed, it was usually by a wide margin. The best year was 2016 when it was up by 86%. BSMAX does not go back to year 2004 so it could not be used for a backtest.
See the Bi-Weekly Portfolio Detail Here.
This is a theoretical portfolio and the results presented are not from a real money portfolio. DISCLAIMER
Model Portfolio Quant Alpha’s
I have a paid subscription to a Quant website that allows me to see a daily list of top stocks to buy or sell ranked on a number of statistics. They refer to this as a Quant score. The Quant score is calculated using valuation, growth, profitability, momentum and earnings estimate revisions .They have an additional paid Service that makes monthly selections based on their Quant scores after applying a number of extra criteria. They have a backtest of their Service that goes back more than 10 years and they claim that this Service has beaten the S&P500 by over 100% during the period of the backtest. Alas, they provide no audit trail to back up this claim, so we just have to take their word for it. Starting in 2022, the Service became live and since then they have provided an audit trail that does appear to match their backtest results, so far.
I have created a Portfolio based on the basic premises of their Service, using the same Quant scores, but with some significant changes. All stocks will be added equal weight.
- No Micro-Cap stocks. The Service does not allow them either.
- High liquidity. I added extra parameters to ensure High Liquidity.
- USA and Canada headquartered only stocks. The Service allows stocks headquartered in other countries. This is one big difference in my approach.
- Twice a month I will add to the Portfolio the stock with the best Quant score that the Portfolio does not already have, that meets all the criteria. I will not double down on any stock. This is a difference with the Service, which allows doubling down. My Add dates will differ from the Add dates in the Service.
- I will not use subjective criteria for Stock selection. The Service often does not pick the next qualifying stock based on the highest Quant score. Instead they pick and choose from the top 7 or so using some kind of subjective criteria not shown in their rules. This does not match what they say the backtest did, which was to take the highest rated Quant score that qualifies. I will not pick and choose, but I will take the highest rated Quant score of the qualifying stocks.
- When a Remove signal is received, I will remove 100% of that stock, not a portion. This differs from the Service, which allows the removal of only a part of the position.
- I will not add any stocks that are Airlines, crypto related, BioTech or Mega Cap.. The Service includes these types of stocks.
- You can expect that eventually 30 to 35 stocks will be in the Portfolio. At that point, new Removes will largely balance against new Adds. If 30 or more stocks are in the Portfolio, the frequency of new Adds will be one per Month instead of two per Month.
- The holding period is expected to range from 9 months to 2 years. This is a longer term holding then is normal for Swing Trading. You can expect that all stocks will eventually be dropped via a Remove signal.
Dividends will be counted for both the selected stocks and the Benchmark Index. From time to time I will update the Portfolio prices to reflect this.
The type of stocks will be Large Cap, Mid Cap and Small Cap stocks. I have chosen the EQAL (Invesco Russell 1000 Equal Weight ETF) as the best representative benchmark.
Quant Alpha’s Portfolio details here
This is a theoretical portfolio and the results presented are not from a real money portfolio. DISCLAIMER
Backtest results for Model Portfolios 2004 thru 2022
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