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Showing posts from September, 2020

BACK-TESTING EP MODEL Y-6 for RETAIL TRADE

I almost changed the return period to May 1 to April 30th.  The number of companies with a year end date of January 31st were as abundant as December 31st.  But then I noticed a couple of companies with August year ends whose results were already available (it's September 30th today).  Given that it has taken only two months to have results made me think that my current frame of three months was too long.  But then I thought, three months is acceptable - it's extra busy at the beginning of a new year - so I decided to keep everything as is.  One Year Return Two Year Return Three Year Return Four Year Return Five Year Return Six Year Return Return for Year Two Return for Year Three Return for Year Four Return for Year Five Return for Year Six Observations There's only one company in Group 8.  It did have the best results for the first year.  Group 6 was a consistently strong contender.  I'm interested to see how the constituents for each group change as I mov

BACK-TESTING EP MODEL Y-6 for TECHNOLOGY SERVICES

 One Year Return Two Year Return Three Year Return Four Year Return Five Year Return Six Year Return Return for Year Two Return for Year Three Return for Year Four Return for Year Five Return for Year Six   Observations: There are only two companies in Group 1 and in Group 8, which would make them more volatile..  Group 7 represents a strong score, as many technology companies can only have a maximum score of 8.   I'm not seeing an appreciable pattern.

BACK-TESTING EP MODEL Y-6 for TRANSPORTATION

This back-tests transportation stocks for the EP model run at Y-6.  One Year Return Two Year Return Three Year Return Four Year Return Five Year Return Six Year Return Return for Year Two Return for Year Three Return for Year Four Return for Year Five Return for Year Six Observations: A score of seven represents the second highest score possible for this group (none do research and development) and hence is a good score. However, this group does not perform well until Year Three and only for that year. Group 1, which would be predicted to be the worst performer has done very well. It is worth noting, however, that this group only has one stock in it.

BACK-TESTING EP MODEL Y-6 for UTILITIES

This posting reports on the results of a utility portfolio run against the EP model, calibrated for back-testing the period Y-6.  Portfolio includes companies that trade on a major exchange (NYSE, Nasdaq, ASE) and have a market cap greater than $1 billion. Performance periods are measured from April 1st to March 31st.  Most companies have a December 31st year end (in the case of this portfolio it is 82/89 companies) and I assume that it takes three months for the financials to be reported and transcribed for analysis.  Ergo investing decisions are assumed to happen on April 1. Performance results are price & dividends and also includes a risk adjusted measure of return. One Year Return Two Year Return Three Year Return Four Year Return Five Year Return Six Year Return Return for Year Two Return for Year Three Return for Year Four Return for Year Five Return for Year Six Observations: The highest score of this group is six, which I consider a mediocre score. The retur

BACK-TESTING EP MODEL Y-6 S&P 500 BENCHMARK

This post contains various return views of the S&P 500 based on its constituents from 2013.  This is for bench-marking the back-tests based on Y-6. Return periods run from April 1st to March 31st, as most companies have a December 31st year-end and 3-months allow time for the publication and processing of the year end reports. Returns include dividends as well as change in price. One Year Return Two Year Return Three Year Return  Four Year Return Five Year Return Six Year Return Return for Year 2 Return for Year 3 Return for Year 4 Return for Year 5 Return for Year 6 Note: Year 6 includes pandemic market crash of 2020 (with no subsequent rebound, as the end date is March 31, 2020).