Top Performing Stock Models

Guru Based on	Strategy Name	Number Of Stocks	Rebalancing	Annual Return	S&P 500	+/- S&P 500
Partha Mohanram	P/B Growth Investor	10	Tax Efficient	14.7%	6.5%	8.3%
Dashan Huang	Twin Momentum Investor	10	Monthly	19.5%	12.1%	7.5%
Motley Fool	Small-Cap Growth Investor	10	Monthly	12.5%	7.1%	5.4%
James O'Shaughnessy	Value Composite Investor	10	Tax Efficient	16.5%	12.1%	4.5%
Validea	Momentum Investor	10	Monthly	11.1%	7.1%	4.0%
Pim van Vliet	Multi-Factor Investor	10	Annual	16.4%	12.6%	3.8%
Wayne Thorp	Earnings Revision Investor	10	Quarterly	15.5%	12.6%	2.9%
Martin Zweig	Growth Investor	20	Quarterly	9.9%	7.1%	2.8%
Peter Lynch	P/E/Growth Investor	20	Monthly	9.9%	7.1%	2.7%
Benjamin Graham	Value Investor	10	Annual	9.7%	7.1%	2.6%

Top Performing ETF Models

Portfolio	Annual Return	Benchmark	+/- Benchmark	Beta	Standard Deviation	Maximum Drawdown	Sharpe Ratio
Factor Rotation - Composite with Trend	12.6%	8.3%	4.3%	0.49	16.2%	24.3%	0.65
Factor Rotation - Composite with Trend	12.5%	8.3%	4.2%	0.49	16.4%	24.3%	0.64
Factor Rotation - Momentum with Trend	12.4%	8.3%	4.1%	0.50	16.7%	25.6%	0.62
Factor Rotation - Momentum with Trend	12.2%	8.3%	3.9%	0.51	16.8%	25.6%	0.60
Factor Rotation - Macro with Trend	12.1%	8.3%	3.8%	0.47	15.9%	24.1%	0.63

All ETF Portfolios

Our Latest Research

2/19/2020

How Lessons from a Navy SEAL Can Make You a Better Investor

By Justin Carbonneau (@jjcarbonneau)

Navy Seal Jocko Willink is well known for his leadership philosophy he calls extreme ownership –the idea that, as a leader, the ownership of the outcomes starts and ends with you. Although this principle was developed in war, it can apply to many areas of life, including the world of investing.

2/12/2020

Some Thoughts on the Struggles of Factor Investing in the Past Decade

By Jack Forehand (@practicalquant)

The long-term evidence to support factor investing is compelling. Academic work has shown that factors like value and momentum have produced an excess return relative to the market over time. Whether the explanation of that excess return is risk or behavior–based, or a combination of both, is the subject of significant debate, but there is little doubt that there have been premiums associated with factors over the long-term. But what occurred in the most recent decade was in many ways the opposite of what has happened over the long-term.

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Our Podcast - Excess Returns

2/24/2020

Episode 12: The Pros and Cons of Trend Following

To say that the track record of market timers in general is dismal would be an understatement. There are so many factors that impact market returns that getting them all right is next to impossible. And even if you do, figuring out what is and is not already priced in can be an equally fruitless exercise. Despite the fact that forecasters have consistently failed to predict market turns, there is an option that can help to limit losses in major downturns and can be beneficial for some investors. Trend following has a long-term track record of both limiting major losses and reducing volatility. But like anything in investing, it comes with some trade offs. In this episode, we discuss why market timing is so difficult and take a detailed look at the pros and cons of trend following.

2/17/2020

Episode 11: The Pitfalls of Back Testing

Back testing is one of the most misused tools in investment management. Almost every back test outperforms the market, but those same strategies often struggle when run with actual money. In this episode, we discuss the reasons why back tested results often don't translate into the real world and talk about some things to look out for when evaluating back tests.

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