Piotroski Style Portfolio

Is there any interest in tracking the following portfolio based on the following QPP analysis?  If so, let me know as I might be able to begin tracking such a portfolio.  Let me explain how it would function.

The following material is not available for publication elsewhere on the Internet.

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Four Stocks Emerge From Current Piotroski High-F Screen

From time to time I post a list of stocks that emerge from something known as the Piotroski F-High Screen..  Exactly what is the Piotroski F-High score?  Here are links explaining this metric or should I say, metrics.

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Bullish Percent Indicators: 28 September 2012

The broad market decline showed up in a number of the indexes and sectors as Platinum readers will see in the following data tables.  To check these results, be sure to set the BPI graphs to calculate percentage changes, not the traditional setting.

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8 Dividend Stocks Supercharge the Swensen-Six Portfolio

Eight dividend aristocrats added to the "Swensen-Six" Portfolio boost return, increase yield, without doing extensive damage to the portfolio volatility. The following screen-shots show the original "Swensen" portfolio, a supercharged version, the correlation matrix for the supercharged portfolio, and the "Delta Factor" projections for the supercharged portfolio when the stock market was near the bottom of the last bear market.

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Links to Retirement Articles and Sector ETFs

Interested in retirement articles.  Geoff Considine, developer of the QPP software, has written the first four of five articles on retirement.  You can find the first article using this link.  The other articles can be found by going to the right sidebar under Recent Posts.

I had an article published on Seeking Alpha on sector ETFs.  This link will take you to that article.

Einstein Portfolio Update: 28 September 2012

Another 32 days rolled around and it is once more time to update the Einstein Portfolio.  Third quarter distributions are in, but as yet they are not identified so the performance results are a little higher than shown in the second screen shot below.

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Low Risk Portfolio Using Dividend Oriented Stocks: Part III

Low Risk Portfolio Number Three

Portfolio number three in this series of low risk asset allocations is shown below.  The percentage of funds was suggested by a Platinum member.  One of the major changes in this portfolio involves decreasing the allocation to VNQ from 7% down to 2%.  No dollars are assigned to TIP and we add a few more dividend stocks.  Since these are not major changes, the final projections do not differ all that much from Part I and Part II of this portfolio series.

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Distribution Reminder

Platinum members using the TLH Spreadsheet will need to update the distribution.  Otherwise the spreadsheet will not update properly.  If anyone needs help, let me know.  I don't think I created a "Camtasia" to show how distributions are added. 

Special Note: For the first time, VGTSX is making a distribution other than at the end of the year.  Do not miss the $0.24 dividend for this index.

Low Risk Portfolio: Part II

A variation of the low risk portfolio posted yesterday is found below.  Since VCLT has a limited historical record, I removed it from the portfolio and added 5% through HCP, another dividend paying stock.  Both projected return and risk are a little higher in this portfolio as compared to the one posted yesterday.  Since the changes were so slight, the variations in the key metrics are not significantly different and can be considered noise.

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Examining Equity Markets Using the “Delta Factor”

Read this article as it supports the findings of the "Delta Factor" probability projections shown below.  To learn more about the Gordon Equation, search that term on this blog.

Which equity ETFs have the greatest probability of doing well over the next six to twelve months?  The following analysis looks at both a three- and five-year history of a variety of equity ETFs.  One set of "Delta Factors" takes in the last bear market while the three-year analysis begins after the bear released its claws.

Three-Year Delta Factor Projections:  Grim, describes future projections when one uses the past three years of data to come up with Delta Factor projections.  This is not surprising for the following reasons.  The market nearly doubled since March of 2009.  When this happens, Quantext Portfolio Planner (QPP), using a reversion-to-the-mean calculation will project future returns at a lower percentage than past performance.  At least in most cases, as readers will observe below.  Since the "Delta Factor" projections are based on both historical and future projections and the future projections are lower than historical values, the probability of doing well in the future is lower.  That should make common sense.  Markets do not rise to the sky although this one has come close.  

We need to experience a cooling off period.  Most likely we will see a rather flat market until after the election, and it may appear rather dormant until the economy picks up at a faster rate.  The following table is not filled with optimism.  

Looking at the current Delta Factor conditions and using three years of data for the analysis, the signal is to be patient.  One can do some rebalancing around the edges, but this does not appear to be a good time to throw significant dollars into the equities market.  At least that is what the "Delta Factor" probability argument is signalling.  

Five-Year Delta Factor Projections:  This situation appears to be a bit more positive if one uses five years of data.  Using a time frame that incorporates the Great Recession, we come up with five international ETFs that have a good probability of doing well over the next six to twelve months.  Based in the following analysis, I would keep international real estate (RWX) and international markets (VEU, VEA, VWO, and IDV) on target based on the Strategic Asset Allocation plan.

Don't pay too much attention to VSS as this ETF does not have five years of data.  I have concerns about holding SLV as the probability is low for doing well over the next few months.  However, probability arguments aside, these projections are made to be broken.