In response to many questions from the Short Selling Blog:
The screen that featured in the article can be described as follows:
US companies with market capitalisation greater than one billion dollars and with 20 day average trading volume greater than 100,000 shares. These companies are less volatile than their smaller brethren and much more likely to be borrowable. ADRs are excluded. This gives a typical starting universe of about 1700 large, liquid US-based companies.
Then a 5 year earnings yield (EY5) is found for each...[more]
Many professionals sell short a stock in order to make a profit just as they do with their long portfolios. However, that is not the primary focus of our short portfolio.
Because the market (eg a long tracker) gives you 6+% per annum (if you stay in it long enough), a short portfolio has to generate 6+% excess return just to break even. And that is not including trading expenses, which are greater for short selling than normal long trading. That is quite a headwind to sail against!
On the plus side, because most equity investors are long only, there may be more mispricing opportunities to take advantage of...[more]
As a quantitative value investor, I‘ve always struggled with the question how long I should keep stocks in my portfolio and when I should sell these securities. Portfolio rebalancing is an important part of sticking to my game plan as a quantitative investor.
The prospect theory in behavioral finance, says that people make decisions based on the potential value of losses and gains rather than the final outcome, and that people value gains and losses differently.
Quantitative value investors generate alpha from process: with our systematic approach at MFIE, we avoid this problem by following a strict timetable process. We buy equities and selling them after one year...[more]
We launched a new version over the weekend with a couple of exiting new features.
Save your favorites. Do you like to look at the Greenblatt Magic Formula best selection stocks in North America but for Europe you prefer to use the ERP5 relative strength strategy? Now you don't have to reconfigure the screens every time you want to see them. Create each screen and click 'Add to favorites', add a name and description. The screens now appear in your favorites available in the top menubar...[more]