I will keep a log of a new model I have made to systematically invest in US equities. The model is a long-only investment method which uses fundamental as well as technical factor in order to generate a list of candidates. The model combines momentum investing (using simply technical factors), institutional holding, and fundamental factors (change in earnings, ROE, ROA). The model uses a ~2000 stock universe and picks, typically, are medium-large capitalization companies. The list will generate 35 candidates, ranked in terms of attractiveness, every month. Based upon testing the top 1-5 stocks will outperform the 30-35 ranked stocks. Thus, the picks can be used by low capitalization investors/traders as well as ones with a big bankroll. The bottomline goal is to beat the S&P500 while attaining an annualized sharpe ratio of 1.0. The model has been tested from 1989 to 2005. In that period the 1-10 ranked picks attained an annual return of +49% with a sharpe ratio of 1.56. It has been able to generate double digit profitable returns even during the bear market of 2000-2002 (although it did lose -3% in 2002 which is better than the -22% lost by the S&P500). It did, however, underperform the market in 1998 (+32% vs. +33% by the S&P). Here is a summary of performance based upon the ranks held: Rank 1-5: return +60% with sharpe of 1.57 Rank 1-10: return +49% with sharpe of 1.56 Rank 1-15: return +47% with sharpe of 1.66 Rank 1-20: return +41% with sharpe of 1.55 Rank 1-25: return +40% with sharpe of 1.56 Rank 1-30: return +40% with sharpe of 1.57 Rank 1-35: return +40% with sharpe of 1.57 Based upon these results the optimal number of positions to hold based upon risk adjusted returns is from the 1st through 15th. Keep in mind trading commissions have not been factored in. Of course past performance is no indication of future results. I am not investing real money based on this model just yet as I would like to "test drive" it a little first. Starting in February the first month's list shall be posted here. Happy investing/trading!