Long portfolio choice: 5 stocks evenly held, and 18 points of edge.
['AFRM', 'CDLX', 'CKPT', 'CVNA', 'OPEN'] -0.001819
Long portfolio choice: 3 stocks evenly held, and 6 points of edge.
['APPS', 'MSTR', 'VLD'] -0.000568
We are four days into a US stock market rally before the Labor Day long weekend.
If it continues to climb, these stocks should rise with it with a more efficient 'Sharpe-like' risk-return profile. These stocks work together in portfolios to further minimize portfolio risk, without sacrificing expected future returns more than they have to. We optimize a 'Sharpe-like' ratio of risk vs. return.
These small portfolios are picked, along with 4,000 to 5,000 lines of market data. We also produce an excel spreadsheet with results for every stock that passes data validation.
Why are the two portfolios different?
The first portfolios has all stocks that pass 'loose' performance filters. As long as they trade and have a base amount of daily liquidity, they can make the list. Those stocks all lose money, for example. 2,965 stocks made the cut today for this analysis. This is a riskier universe of stocks, with higher historical price variance than the S&P 500 Equity Index ETF and the portfolio of profitable companies.
The second portfolio is made of stocks that earn a positive net income, have more than -$1B in shareholder equity (so they cannot be more than a billion dollars in the hole for net worth of equity), and have long term debt that is less than 50 million times net income. 1,777 stocks made the cut today for this analysis. This is a lower risk universe of stocks, with more than 30% less historical price variance.
Stock Market BLOG
President and Investment Advisor Representative