Miro, most of my live portfolios most rebalance weekly and have the closing stock price to $1 or more and average daily dollar volume at $50k or more. The annual portfolio turnover on these are ~200%. I have never had to wait weeks for an order to complete. In fact, the vast majority complete same day, and slippage over 1% is rare.
Also note, these are the minimum thresholds set, which are far below the average.
A fair criticism would be trying to do this with large assets. such as a family office or pension funds. In my case its a portion of personal net worth allocated to these portfolios (mid 6 digit $). As a practitioner with these lower volume and market cap stocks, I disagree with your criticism.
These are my bread-and-butter stocks. They’re not “penny stocks,” I never have to wait weeks for the orders to complete, and I rarely have to pay a huge spread to complete it sooner. My average slippage is about 0.5% off opening price, but that’s because I usually buy stocks in more than one account (thus paying multiple commissions), I stagger my buys, and I’m usually buying five figures worth of stock. In this contest, we only buy and sell once a year, so slippage is minimized. We start with $100,000, which means each stock gets a $5,000 buy. That’s peanuts for a stock trading $50,000 to $100,000 daily. There’s not going to be any market impact at all.
I do not normally model for rebalancing periods this long, but…
I filtered the All Fundamentals universe a bit, specifying NOOTC, AvgDailyTot(60) > 1000000 with a CPI adjustment (in line with a personal preference), certain values not NA, and Country(“USA,BHS,BMU,CYM”). Then I applied a ranking system with three factors (a modified version of Greenblatt’s operating income test, a modified cash flow to market cap ratio, and one special sauce). Sometimes it works well, sometimes not. We’ll see.
Walter, I see a total of eight public 2018 stock picking ports in a search, including my own. Perhaps your session is using stale data and you need to log out and back in? Just guessing!
