My deep value stock experiment - 未名空间MITBBS历史存档

My deep value stock experiment# Stock

B*r2011-09-25 07:09

1 楼

I use Fidelity stock screens to select stocks:
(1) price >= $1
(2) market cap > $100m
(3) average daily volume > 0.1m
(4) price/book < 0.5
(5) current year P/E < 8
(6) next year P/E < 6
There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
too many), and drop a few stocks that missed consecutive earnings. I have
the following list of 25 stocks (sorted in decreasing order in market cap):
OGZPY C BNPQY DB BCS AXAHY MT ING SCGLY HIG LNC AGO BPOP PL
SYA YGE KND AEL JASO NM GTIV PNX XIN SKH VOXX
I will see if this portfolio beat S&P500 in the coming weeks and months till the
end of the year.

l*22011-09-25 07:09

2 楼

90% of the following list is Bullshit
OGZPY C BNPQY DB BCS AXAHY MT ING SCGLY HIG LNC AGO BPOP PL
SYA YGE KND AEL JASO NM GTIV PNX XIN SKH VOXX

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

o*y2011-09-25 07:09

3 楼

如果是抄底，这些中间有一些可以考虑。可是如果不是抄底的时候，别和市场做对啊。

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

B*r2011-09-25 07:09

4 楼

I do not look at technicals to decide the list. I just use the stock screens
to pick good fundamentals, and feel the sentiments is turning.
Technicals are for short-term right-side trend traders. Fundamentals are for
long-term left-side investors. Traders do not understand investors.

【在 o**y 的大作中提到】

: 如果是抄底，这些中间有一些可以考虑。可是如果不是抄底的时候，别和市场做对啊。
:
: (

B*r2011-09-25 07:09

5 楼

Day 1 performance
S&P 500: +2.33% since the start, 9/25/2011
DeepValue: +3.39% (average gain of all 25 stocks since the start)
There is no need to adjust the portfolio. I may adjust using the same stock
screens at the end of every week.

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

q*x2011-09-25 07:09

6 楼

re

n*a2011-09-25 07:09

7 楼

Which 7 stocks did you drop?

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

B*r2011-09-25 07:09

8 楼

DQ
TSL
CSIQ
JKS
TPC
DRYS
CTE

【在 n****a 的大作中提到】

: Which 7 stocks did you drop?
:
: (

B*r2011-09-25 07:09

9 楼

After day 2,
S&P500: +3.43% since the start
DeepValue: +7.27% since the start

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

B*r2011-09-25 07:09

10 楼

After day 3,
S&P500: +1.29% since the start
DeepValue: +3.40% since the start

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

B*r2011-09-25 07:09

11 楼

After day 4,
S&P500: +2.11% since the start
DeepValue: +7.99% since the start

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

B*r2011-09-25 07:09

12 楼

After week 1,
S&P500: -0.44%
DeepValue: +2.23%
I don't see a need to adjust the positions.

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

t*g2011-09-25 07:09

13 楼

re

B*r2011-09-25 07:09

14 楼

After day 6,
S&P500: -3.28%
DeepValue: -6.97% BLOODY

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

B*r2011-09-25 07:09

15 楼

After day 7,
S&P500: -1.10% since the start
DeepValue: -2.51% since the start

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

B*r2011-09-25 07:09

16 楼

After day 8,
S&P500: +0.67% since the start
DeepValue: +1.55% since the start

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

B*r2011-09-25 07:09

17 楼

After day 9,
S&P500: +2.51% since the start
DeepValue: +6.26% since the start

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

B*r2011-09-25 07:09

18 楼

After week 2,
S&P500: +1.67% since the start
DeepValue: +2.51% since the start
I will drop ING/AEL because they no longer satisfy the rules. They were
winners (up 18.9% and 10.8%, respectively) in the past 2 weeks, and a
natural selection by value investors is to "SELL WINNERS".
Value investors will "BUY LOSERS". I will use 1/2 of the cash from the sale
to buy DRY, and the other 1/2 to double XIN.

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

l*r2011-09-25 07:09

19 楼

p/e < xx, 说到底你是 pick the loser
no way to win
版主m，误导青蛙

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

B*r2011-09-25 07:09

20 楼

You are a trader, not an investor. Investors use fundamentals. Sell-winners buy-losers is a natural strategy and outcome of left-side value investors that use fundamentals.

【在 l*****r 的大作中提到】

: p/e < xx, 说到底你是 pick the loser
: no way to win
: 版主m，误导青蛙
:
: (

S*s2011-09-25 07:09

21 楼

我也是倾向value investing，你选股要注意避开value trap
需要作大量的基本面研究

【在 B**********r 的大作中提到】

: You are a trader, not an investor. Investors use fundamentals. Sell-winners buy-losers is a natural strategy and outcome of left-side value investors that use fundamentals.

B*r2011-09-25 07:09

22 楼

Agree. We may not enough time and resources to do the research. The purpose
of this experiment is to simply rely on the available numbers to test this
strategy.
Sometimes I feel there are too many traders, not long-term value investors
on this board. When one buy a stock, he/she should be ready to hold them for
years unless fundamentals have changed.

【在 S*******s 的大作中提到】

: 我也是倾向value investing，你选股要注意避开value trap
: 需要作大量的基本面研究

S*s2011-09-25 07:09

23 楼

going forward 我们可以探讨一下fundamentals
In this knid of market situation,一般我不投资$10以下value stock, just in
case the MKT beat the dog.

purpose
for

【在 B**********r 的大作中提到】

: Agree. We may not enough time and resources to do the research. The purpose
: of this experiment is to simply rely on the available numbers to test this
: strategy.
: Sometimes I feel there are too many traders, not long-term value investors
: on this board. When one buy a stock, he/she should be ready to hold them for
: years unless fundamentals have changed.

B*r2011-09-25 07:09

24 楼

The absolute stock price does not matter at all. When C did 10:1 reverse
split earlier this year, its price jumped from $4.5 to $45. Does that change
the fundamentals of the company?
The market is inefficient. That is why we have those deep value stocks. Time will tell.

【在 S*******s 的大作中提到】

: going forward 我们可以探讨一下fundamentals
: In this knid of market situation,一般我不投资$10以下value stock, just in
: case the MKT beat the dog.
:
: purpose
: for

S*s2011-09-25 07:09

25 楼

It seems you are talking about 2 unrelated isues.
1. Stock split does not affect the price or the underline value.
2. A stock's intrinsic value (thus price) comes from different calculation,
mostly related to the company's earning and earning consistancy.

change
Time will tell.

【在 B**********r 的大作中提到】

: The absolute stock price does not matter at all. When C did 10:1 reverse
: split earlier this year, its price jumped from $4.5 to $45. Does that change
: the fundamentals of the company?
: The market is inefficient. That is why we have those deep value stocks. Time will tell.

B*r2011-09-25 07:09

26 楼

Yes, my point is that you should not judge a company based on its stock
price, $4.5 or $45.
What I used is the price/book ratio and P/E ratio.
P/B says how undervalued currently it is, and P/E says how much more
undervalued it tends to be in the future. There are other rules, but i think
these two are the most important for value investment.

,

【在 S*******s 的大作中提到】

: It seems you are talking about 2 unrelated isues.
: 1. Stock split does not affect the price or the underline value.
: 2. A stock's intrinsic value (thus price) comes from different calculation,
: mostly related to the company's earning and earning consistancy.
:
: change
: Time will tell.

S*s2011-09-25 07:09

27 楼

think
ｔａｔｉｖｅｌｙＹＥＳ

【在 B**********r 的大作中提到】

: Yes, my point is that you should not judge a company based on its stock
: price, $4.5 or $45.
: What I used is the price/book ratio and P/E ratio.
: P/B says how undervalued currently it is, and P/E says how much more
: undervalued it tends to be in the future. There are other rules, but i think
: these two are the most important for value investment.
:
: ,

B*r2011-09-25 07:09

28 楼

After day 11,
S&P500: +5.14% since the start
DeepValue: +7.71% since the start

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

x*g2011-09-25 07:09

29 楼

What's the combined beta of your portfolio, I guess using your screen, you
are going to select bunch of high beta stock.
Except a few random numbers, I don't see the logic behind your screening. I
am not saying that your screening is wrong. I just don't see the benefit of
a portfolio concentrate on bank and solar.

j*h2011-09-25 07:09

30 楼

at least 3, basically, he is betting on macro rebound

I
of

【在 x**********g 的大作中提到】

: What's the combined beta of your portfolio, I guess using your screen, you
: are going to select bunch of high beta stock.
: Except a few random numbers, I don't see the logic behind your screening. I
: am not saying that your screening is wrong. I just don't see the benefit of
: a portfolio concentrate on bank and solar.

B*r2011-09-25 07:09

31 楼

After day 12 (yesterday),
S&P500: +5.20% since the start
DeepValue: +9.93% since the start
After day 13 (today),
S&P500: +6.23% since the start
DeepValue: +15.34% since the start

B*r2011-09-25 07:09

32 楼

After day 14,
S&P500: +5.92%
DeepValue: +13.04%
After day 15 (3 weeks),
S&P500: +7.76%
DeepValue: 15.13%

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

v*y2011-09-25 07:09

33 楼

去查下FAMA FRENCH MODEL
里面有三个FACTOR
HML: B/P低的OUTPERFORM B/P高的
SMB： SMALL CAP BEAT LARGE CAP
You just take more risk.
U can see you portfolio perform much worse than S&P in the bear market

M*82011-09-25 07:09

34 楼

: After day 14,
: S&P500: +5.92%
: DeepValue: +13.04%
: After day 15 (3 weeks),
: S&P500: +7.76%
: DeepValue: 15.13%
:
: (

j*h2011-09-25 07:09

35 楼

this thread is good.
wanna see how your picks perform in the volatile market.

B*r2011-09-25 07:09

36 楼

After day 16 (Monday),
S&P500: +5.67%
DeepValue: +9.95%
After day 17 (Tuesday),
S&P500: +7.83%
DeepValue: +14.17%
After day 18 (Wednesday),
S&P500: +6.46%
DeepValue: +9.61%
After day 19 (Thursday),
S&P500: +6.95%
DeepValue: +11.32%
After week 4,
S&P500: +8.96%
DeepValue: +13.83%
The portfolio underperformed the major index this week.

B*r2011-09-25 07:09

37 楼

After day 21 (yesterday),
S&P500: +10.36%
DeepValue: +18.58%
After day 22 (today),
S&P500: +8.15%
DeepValue: +13.94%

B*r2011-09-25 07:09

38 楼

今天这个价值Portfolio生猛得很。我计划明天收盘作个调整。

(

【在 B**********r 的大作中提到】

: I use Fidelity stock screens to select stocks:
: (1) price >= $1
: (2) market cap > $100m
: (3) average daily volume > 0.1m
: (4) price/book < 0.5
: (5) current year P/E < 8
: (6) next year P/E < 6
: There are 32 stocks meeting all conditions. I drop 4 of the 6 solar stocks (
: too many), and drop a few stocks that missed consecutive earnings. I have
: the following list of 25 stocks (sorted in decreasing order in market cap):

r*l2011-09-25 07:09

39 楼

如果这个portfolio hold个几年然后和大盘比，还是挺有意义的，但一个月就开始大规
模调整舱位，这个就是trading了，意义有限了
而且一个月来，大盘是牛市，牛市小股票肯定beat sp500, 如果是熊市，跌的肯定也
beat更多。sp500掉20%,这些股票大部分起码腰斩。
again,起码目前这个portfolio表现不错只是大盘的原因，和选股没关系。

【在 B**********r 的大作中提到】

: 今天这个价值Portfolio生猛得很。我计划明天收盘作个调整。
:
: (

B*r2011-09-25 07:09

40 楼

我的目的是通过这个说明基本的价值投资还是有益的。这个Portfolio非常多样化，有
大中小盘，有各国股票，有很多板块的。我不认为一个人能随机取25值股票，能在牛市
里跑赢大盘一倍以上。
再有，有人不认可捞底买跌。我认为价值投值就要在基本面上自然捞底。这样风险回报比好。

【在 r***l 的大作中提到】

: 如果这个portfolio hold个几年然后和大盘比，还是挺有意义的，但一个月就开始大规
: 模调整舱位，这个就是trading了，意义有限了
: 而且一个月来，大盘是牛市，牛市小股票肯定beat sp500, 如果是熊市，跌的肯定也
: beat更多。sp500掉20%,这些股票大部分起码腰斩。
: again,起码目前这个portfolio表现不错只是大盘的原因，和选股没关系。

r*l2011-09-25 07:09

41 楼

其实我就俩意思
1. 时间太短，还不能说明太多。投资起码要看1年以上，才一个月的牛市说明有限。
2. 毕竟这个底是捞到了，如果sp再跌10%,这些股票不可能只跌10%的。就像07年，8000
点时候有价值的股票遍地都是，选几十个出来hold1个月，大盘到6000多点，除非买的
麦当劳等等，否则至少又是20%没有了。更何况基本没人可以忍到8000点再买，10000点
买的人都觉是千载难逢机会了，万点买的全部是腰斩了
呵呵，其实说白了，这次熊市还不算熊。

报比好。

【在 B**********r 的大作中提到】

: 我的目的是通过这个说明基本的价值投资还是有益的。这个Portfolio非常多样化，有
: 大中小盘，有各国股票，有很多板块的。我不认为一个人能随机取25值股票，能在牛市
: 里跑赢大盘一倍以上。
: 再有，有人不认可捞底买跌。我认为价值投值就要在基本面上自然捞底。这样风险回报比好。

B*r2011-09-25 07:09

42 楼

After day 23 (yesterday),
S&P500: +9.29%
DeepValue: +17.07%
After day 24 (today),
S&P500: +13.04%
DeepValue: +29.32% (this portfolio is up 10.5% in a single day)

B*r2011-09-25 07:09

43 楼

After week 5,
S&P500: 13.08%
DeepValue: 29.55%

O*s2011-09-25 07:09

44 楼

maybe you can backtest this model for the last three years?