I keep this portfolio pretty simple. 30% stop loss. My UK universe is FTSE 350. The filter is as desribed in Smart Portfolios. Forward PE < 12 EPS growth > 0 Forecast yield > 4% PTBV < 1.5 Forecast div. Cover > 1.2 Gearing < 50% I don't do MVO, just buy equal cash weight. GAT PS Looks like I was a bit early calling the bottom
Just to note also, I will probably modify this given how many dividends have been cancelled to remove the yield and dividend cover requirements for now. GAT
Hi Rob, I love the stuff you’re doing and sharing. Now that you’re getting less dividends your futures trading ATM is paying out, you gotta ‘love it when a plan comes together’. You are systematic, caution against biases and take the emotion out of trading. What surprises me though, is that you pick stocks in the UK. This smells like ‘home bias’ - are there benefits as opposed to just buying the MSCI World ETF? I don’t want to call you out or anything just curious.
Hi FCT In my defense, my portfolio allocation to UK stocks is modest. Before the s*** hit the fan it was running at 27% of my equity allocation (it's now 12%, which mostly reflects the fact that my UK equities had stops on them so were sold very quickly). That's more than is justified by global market cap weight, but not as much home bias as most people run. In my partial defense, the UK has had a strong value signal for as long as I can remember, which would justify a higher weight even without home bias. I could also trot out the well rehearsed argument that UK stocks, especially large cap, have a large exposure to overseas earnings since many are multinationals that just happen to be listed here. The other important point is that I buy individual UK stocks, and internationally I've always used ETFs (I don't use stops in my ETF portfolio; this is manually rebalanced). Historically, I choose to buy individual UK stocks and ETFs elsewhere, just because it was easier. When I started investing it was very difficult to buy US stocks through a UK broker, and expensive. Because I can buy individual stocks, it means I can implement a value based strategy. This should attract a slightly higher Sharpe Ratio than just collecting Beta, so it also justifies a slightly higher allocation. All in all I'm happy with a UK equity allocation of between 20% and 30%, and I'd probably end up back there when the smoke clears. GAT
Makes sense. On the clearing smoke: so you see anything particularly interesting to buy in the current environment. The time seems right to buy stuff, but what? Oil looks good, equities in general, gold already rebounded. Some ETFs have huge discounts, but that does not seem to be an extra reason, since the price is right but the NAV (most likely) not. Any ideas anyone?
I don't have any thoughts in that direction, and what I buy will be determined purely by systematic value metrics. GAT
there's also this screener, which has most of the parameters for free, can filter by country, though, I couldn't find "PTBV" and "Forecast div. Cover" https://finviz.com/screener.ashx?v=121&f=fa_div_o4,fa_epsyoy_pos,fa_fpe_low,fa_ltdebteq_u0.5&ft=4
As of yesterday, I'm starting to average in back into risk assets. Still staying away from individual equities, which means I'm buying ETFs as 'placeholders' to get Beta exposure until I have clearer data of individual fundamentals. Bought some yesterday, some more this morning, and I'll probably buy some more after NFP. GAT
Hi Rob, I'm considering backing down the frequency of some of the trading strategies I manually execute. If for some reason you were completely barred from updating positions more than once a week, how much of a performance degradation would you expect for strategies like yours that target risk premium and return factors? Aside from running lower volatility is there anything else you would structurally change, granularity of data perhaps? Appreciate your input.