Tuesday, January 22, 2008

Commodity model

Today I opened the first position in the new COM model, a ranking system based on commodities stocks that will replace HFCF in the Demo portfolio. I made this change based on the 6 months GSG momentum and the recent small cap underperformance. The 2008 Demo portfolio will thus be composed of NH, LKS, PCF, COM (5 positions each) and SHORT (10 positions). I might add a large-cap model going forward.

The idea for the COM model comes from the Motley Fool Mechanical Investing forums where the screen was originally designed as a commodity stocks universe sorted by low Short Interest ratio. I made a few changes to include my liquidity and cash flow requirements and replaced the regular SI as SI % of outstanding shares but for the rest the screen didn't change substantially. The goal is to overperform GSG in 2008.

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