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 ReturnTwo 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 return pattern, with the exception of the first year, was not the hypothesized pattern with the top score stocks performing the best and the lowest score stocks performing the worst. Note: "Other" stocks are companies in the portfolio group, but for whom there was no data to process the analysis, at least for this back-test.