Portfolio Design

Advanced concepts in stock investment portfolio design.  Fundamentals, technical analysis and many other related topics are discussed.

100 Stock Hedge Fund: Design is Inching Forward


I'm continuing to work on the 100 Stock Hedge Fund but the design is coming along slowly. No progress has been made on improving the ranking system, but by adding some standard Sell rules, the simulation now has a 4.08% annualized return.

Stock market analysis fueled by Portfolio123.

The following four Sell rules have been added:

  1. NoDays>360: Insures that the position is re-synced every year at a minimum
  2. RankPos>xx: Lower ranked stocks are sold (and if still qualifying then rebought)
  3. PctFromHi<-xx: Stock prices that are trading a certain percentage below their high are sold. They may be rebought if still passing the Buy rules.
  4. GainPct>xx: Stocks that have gained a specific percentage are sold.They may be rebought if still passing the Buy rules.

Note: "xx" will not be disclosed for the time being.

The annualized return is 4.08%. The goal is for greater than 5%. The simulation backtest is shown below.

100 stock hedge fund simulation backtest results 

The average profit per closed trade is 3.91%, above the 3% goal.


100 stock hedge fund simulation trade statistics

The current sector allocation is shown below.

100 stock hedge fund simulation current sector allocation

There are three years that present undesirable performance: 2007, 2012, and 2015. Although not a design goal that I had specified, I would like to improve these three time periods to make a more desirable hedge fund.

100 stock hedge fund simulation annualized returns

This is like trying to squeeze blood from a stone. That is all for tonight.