You haven’t given us enough detail to explain this. How many stocks were in your system? What were those stocks (i.e. large caps, small caps, nanocaps)? How many factors were you using, and what were they? There could be a very logical explanation for your results that has nothing to do with “market catching on to” a factor or “people not looking for value.”
Thanks, Yuval. That’s a lot of good stuff to be thinking about.
I must’ve misread the 20x turnover. My apologies.
That is up with value 
Just had a monster trade with ford, up 200% on Friday, so I thought I sell it intraday (Its on the sell list for monday ayway because of a sell rule that sells everything with high liqudity 
Dear Kumar, please look up the secret sauce thread here I posted some stuff on how I do it.
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The thing is, I can not make a r2g portfolio out of it, because R2G Portfolios calculate slippage in a way that it would destroy (theoretical) the performance of the model. I calculate with 0.3% slippage on very illiquid stocks in my backtests and my real time portfolios, because I am able to replicate that kind of slippage in real terms since 2013.
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a 5 Stock model going sideways a year is totally normal, because it rolls the dice much less then a 100 Stock model. Interesting enough that
my Modell with 100 small cap stocks https://www.portfolio123.com/app/r2g/summary?id=1062281 is doing pretty good -
A got a nice SP500 Value based Modell coming, 18% per year and a very, very nice capital curve, which I will trade when my port is
to big to chase those small caps -
I got another very interesting Modell with 33 Stocks that I would be willing to sell privatly, but the price would be way higher then a normal r2g model so I will not go through this channel but find it through my private network.
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If a Modell is not psychologically hard to trade (like trading small caps or encountering DDs) and if you do not overcome this, you
will not beat the market -
on the timing side watch the movies of @CiovaccoCapital and read oshaugenny, https://app.hedgeye.com/ (macro show!) will also be a good source of timing the market, also earnings trend (fed Modell of p123) are a good watch to see where we are…
In summary:
Value is 100% the way to go, combine it with a bit quality and momentum and small caps and some knowledge on how to trade small caps
and avoid slippage then you got your system. The rest (90%) of the game is your mind, it took me 21 Years to learn this…
Best Regards
Andreas
if you want to learn how to trade with minimal slippage here is a good start: https://twitter.com/chuck_fulkerson
Andreas, just curious if you would be willing to post a SIM of your main system with the liquidity being avgdailytot(60)>500,000. It seems like low liquidity is the main driver of your results. Is this true? Thanks for all the openness on your system!
Yes, low liquidity micro caps is one of the main driver…, also it is levaraged with 35% this one is with 20 days average and > 500k a day…
and here the one I am trading with 20 day volume average of 25k, yes 25k. the main point is, with a port of below 1 Mil. and 100 or 200 Positions this can be replicated by using gtc trade orders, it sounds crazy but so far I was able to do it… (2013, 2014, 2016, 2017)
Very interesting. One more request. Would you mind posting those with no leverage and no timing? Again thanks for all the great posts.
I asked for a snapshot of your model with no timing and no leverage, as those are really portfolio management choices, as opposed to model performance. I assume the last chart with no timing and no leverage, is still your low liquidity model, with the .3% assumed slippage?. Still very impressive. Just curious, do you feel microcaps are worth the effort given the liquidity and slippage risk, as opposed to a mid / large cap model, that could be levered up to similar returns as a microcap model? With a higher liquidity model, slippage really wouldn’t be a factor, given your ability to mitigate it so successfully in the microcap area, and it would scale no problem. Obviously, you have been successful with the micros, just looking for other traders / investors mindsets.
Thanks again Andreas.
Andreas,
Thank you for sharing your knowledge and wisdom on microcap investing. slippage and discipline to execute to trade on Monday is important on micro cap.
As i am in full-time job, i am interested to learn the market
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without any boundary like 25k avg transaction, max limit 1 million investment cap,
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with less number of positions 10 rather than 100
3 less number trades per years, probably deal with just 30 to 40 stocks per year maximum around 40 transactions. each quarters 10 transaction at the average.
I have spent most of my time with sp500 universe, all my model have value and quality theme.
I can keep learning how to improve my models every years; i believe it is worth the time as SP500 has unlimited potential.
Core holdings model, no market timing, no leverage.
https://www.portfolio123.com/app/r2g/summary?id=1515708
it took 2 decades to come with this good model;
I have a little luck,
with help of p123, forum, AAII and few good investing expert knowledge (Mgersteins), I able to desing DM to match with your expertise in
performance using SP500 universe.
Thanks
Kumar
Not for 25% unlevered untimed. That kind of performance can be had in large/mid cap models.
Any input from professional money managers Miro/Inovestors/Hemmerling/Others ?
how was your view/experience for last 3 years on this smallcap value investment or small cap value mutual funds, what do you expect in coming years ?
Note: here, we have discussed micro cap VALUE (Judge Trade, Yuval Taylor), mid/large cap VALUE sp500(Kumar).
this discussion is to learn and grow further.
the original questions are
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- small cap value under performance in the market russel 2000 vs sp500/djia and
- MOST OF THE small cap p123 designer model and fidelity smallcap value stocks were 2X to 3X performer prior to 2014.
But, now it became laggard for last 3+ years.
SMALL CAP = 300M to 2B market cap.
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Thanks
Kumar
Andreas,
how do you handle the GTC orders? As far as I understand TRADE, it supports only day orders. Do you change it manually to GTC in Interactive Brokers and update your P123 port also manually after the order is fulfilled? Or is there are more comfortable/reliable way?
Thanks.
We use a small cap GARP model. It has a one-year return of 29% which beat its small cap benchmark, but essentially tied the S&P 500 TR. It trails all our other models. YTD it us up 5.5%. But we look for liquid small caps as our positions are large. And no micro caps - we never want to acquire more than 5% of a company’s stock.
We use it for diversification - we like to use relatively uncorrelated models (less than 0.80, and preferably much less). We know small caps will come back in favor at some point.
http://theirrelevantinvestor.com/2018/01/24/whats-wrong-with-value/
I think I agree a lot with this take… Basically value underperformance is a correlation of sector performance. Growth indexes are dominated by tech and consumer discretion. Value indexes are dominated by financials and healthcare. Technology sector has ran laps around financials over the last 10 years. Any surprise this correalates to a zero rate policy world where financials get very little return on assets (and a huge new weight of government regulation since 2009) while tech is able to fuel speculative growth with essentially free money?
just for info: I do not use trade, I do it manually. Thanks and Best Regards Andreas
When I’m simulating with margin and hedge to anything except cash, it doesn’t sell the non-hedge holdings?
What am I missing? I can’t hedge to IEF (or anything else) and sell the stocks if I’m using margin?