 This test represents the equity selection and performance of a 50-stock portfolio based on Sabrient's published Micro-cap Value Rankings. Updated: January 18, 2010 Test Parameters Period covered: April 1, 2002 - January 12, 2010 Stocks sorted by: Sabrient Value Score Weighting: An equal dollar weight is given to each of the 50 stocks. Rebalancing: The test portfolio is rebalanced once a month on the date of the next published rankings. Dividends: Results include dividends for both test portfolio and Russell 2000. |
| Stats |
Sabrient Micro-cap Value Rankings |
Benchmark: Russell 2000 Index |
| Annualized Rate of Return | 14.5% | 4.4% |
| Annualized Volatility | 28.6% | 23.7% |
| Annualized Differential Return | 9.9% | |
| Alpha | 10.62% | |
| Beta | 1.048 | |
| Sharpe Ratio vs. Benchmark | 0.7 | |
| Simple Sharpe Ratio | 0.39 | 0.06 |
| Drawdown | -24.7% | -21.4% |
| Correlation with Benchmark | 86.8% |
| Micro-cap Value Rankings: April 1, 2002 - January 12, 2010 |
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Disclaimer: These reports are published solely for informational purposes and are not to be construed as advice or a recommendation to specific individuals. Individuals should take into account their own unique and specific circumstances in acting on any stock selection made by Sabrient. Sabrient makes no representations that the techniques used in these reports will result in or guarantee profits in trading. Trading involves risk, including possible loss of principal and other losses, and past performance is no indication of future results.
