| Updated: June 2, 2006 |
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Stats |
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Sabrient Portfolio |
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S&P 1500 |
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Annualized Effective Return |
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18.2% |
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9.7% |
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Annualized
Sharpe Ratio |
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0.73 |
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0.62 |
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Annualized Standard Deviation |
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21.9% |
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17.2% |
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Beginning Portfolio Value |
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$10,000,000 |
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Ending Portfolio Value |
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$66,416,862 |
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No. of Positions |
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50 |
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Cumulative Return |
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564.2% |
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184.7% |
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Drawdown |
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36.7% |
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47.3% |
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Correlation with Benchmark |
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-1.7% |
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Leverage is 2:1, with all cash used to buy long positions in equal dollar amounts; shorts margined against longs.
There are no stop losses, profit targets, or technical trading signals.
The test accounts for dividends and cash distributions, and 1.5 cents/share transaction costs.
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This is just one sample of Sabrient's many custom strategies.
Results
On a 10-year test (1/31/1995 through 5/26/2006), Sabrient’s Adaptive Rank Strategy outperformed the S&P 1500 by 8.5% per year.
The Strategy
The universe is the S&P 1500.
The strategy employs an adaptive process whereby each of three high-performing filters (from Value, Growth, and Momentum styles) is backtested monthly to determine which gives the best top-bottom spread over the prior 3 months. The best filter is given a 60% weighting, and the other two are given 20% weightings each in their respective top-to-bottom scoring of the given universe.
The strategy is long/short, dollar-neutral, long the 25 top-ranked stocks and short the 25 bottom-ranked stocks, for a total of 50 positions.
The portfolio is rebalanced monthly assuming the closing prices on the first trading day of the month, using Sabrient scores based on the close of the last trading day of the prior month.
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Disclaimer: While past performance is no guarantee of future results, we believe we can maintain our strong performance through our rigorous, scientific approach to filter construction and ongoing backtesting within a dynamic and adaptive composite scoring system.
