What have been the best and most consistant performing mechanical investing strategies of the decade?
PowerStocks used their AAII membership and data-mined the performance reports for over 60 well known strategies they have been maintaining in real time from 1998 to 2009. We then rated each strategy over the total 12 year period for :
1.Total cumulated return (TOTAL) 2.Annual compound growth rate (CAGR) 3.Standard deviation of annual growth (STDEV), 4.Risk adjusted annual return (SHARPE) 5.Percentage positive growth years (%POS), 6.BASE rate (# of years it beat market), 7.Average portfolio size (AVG#) and 8.Average Portfolio turnover (TURN)
Taking all of the above holistically into account, we selected our ten best performing, most consistant mechanical strategies for the decade which we show below : (click for larger image with each years details):
Note that just because "P/E Relative" only returned 332% over the period, does not mean that it is inferior to "O'Shaughnessy Small Cap Growth+Value" that returned 589.9% absolute growth. The P/E strategy has a stunning Sharpe ratio of 0.92 which means it has far better risk adjusted return than the O'Shaughnessy strategies' 0.76, due to its lower volatility (standard deviation). However, the O'Shaughnessy strategy had 11 positive growth years out of 12 versus the P/E strategies 10.
We have been running a live managed Piotroski portfolio since November 2008, which is highly popular with our readers. Note that AAII run a "Perfect Score of 9" Piotroski whereas we run a "Score of 8 or 9" portfolio, which is what Piotroski used himself.
We started an O'Shaughnessy Growth project last month and are almost ready to commence the live portfolio after completion of a scanning engine for it. We have just opened a Zweig project and are busy building and testing the logic for the scanning engine. We will attempt to have a CAN-SLIM engine completed by May, due to the spectacular results achieved by it in the U.S