Last week, I accidentally left out the full details of my ValuEngine Institutional screening. Well, here it is: Because there is no definitive way to interpret the value of Jensen's Alpha (other than to say that it must be positive), and because Alpha is derived from Beta, and Beta is about performance relative to the market as represented by an Index- I used the Ranking system in ValuEngine. That is I screened for stocks with Jensen's Alpha Rank > than 90. This means that in relation to ValuEngine's Universe of 4500 stocks, these are the stocks in the top 10 % in terms of Alpha value. Also, the stocks have to have a minimum market cap greater than $0.5 Billion and average daily volume greater than 100000 shares. Then I added the constraint that the Beta should be less than 1. When this yielded too many stocks (about 76) I progressively lowered the Beta value until it was 0.6.
Now, lets take a look at the performance of the selected stocks which was based on their location on the Self-Organizing Map [SOM]. (Refer to last week's post). Well, from the image above you can see that the results have been quite good. Against the S&P's performance of +3.9 %, we have a portfolio average of + 37 %. Mostly due to two big gainers: Frontier Gold and U.S. Gold Corp. Tune in again next when we shall do more of the same and demonstrate that even in a flat market, high Alpha low Beta stocks can outperform.
Now, lets take a look at the performance of the selected stocks which was based on their location on the Self-Organizing Map [SOM]. (Refer to last week's post). Well, from the image above you can see that the results have been quite good. Against the S&P's performance of +3.9 %, we have a portfolio average of + 37 %. Mostly due to two big gainers: Frontier Gold and U.S. Gold Corp. Tune in again next when we shall do more of the same and demonstrate that even in a flat market, high Alpha low Beta stocks can outperform.
