Optimal Portfolios -- Investment and Life
This blog will post stock picks, results and ideas from my investment research.
To access free stock picks, please go to http://www.cisiova.com/analysis.asp
Saturday, January 21, 2006
Back Tested 15 Years, Sharpe = 0.78
| Money to Invest: | 100000 | 2006-1-21 | |
| Stocks | Weights | Entry Price | Shares |
| PSA | 21.67% | 70.29 | 308 |
| SLM | 9.38% | 55.32 | 170 |
| SO | 29.05% | 35.05 | 829 |
| AAPL | 1.87% | 76.089 | 25 |
| VLO | 3.28% | 60.32 | 54 |
| ROK | 3.63% | 64.52 | 56 |
| ADSK | 5.19% | 42.37 | 123 |
| ERTS | 3.00% | 54.92 | 55 |
| CLX | 11.11% | 58 | 192 |
| HSY | 4.29% | 54.42 | 79 |
| AFL | 4.56% | 47.17 | 97 |
| BJS | 2.96% | 41.27 | 72 |
| Portfolio Monthly Return: | 1.9676% |
| Portfolio Variance: | 0.0510% |
| Portfolio Std Dev: | 2.2580% |
| Sum of Weights: | 1 |
| Annual Risk Free: | 2.5000% |
| Monthly Risk-Free Rate: | 0.2060% |
| Reward/Variability (Sharpe): | 0.7801 |
| Annulized Return: | 26.3409% |
| Historical Data Used: | 5 Years |
| Monthly Return 95% Confidence Interval | |
| Upper Limit: | 2.5389% |
| Lower Limit: | 1.3962% |
Wednesday, January 18, 2006
Back Tested Picks (Reduced datamining bias) 1.04 Sharp Ratio
| Money to Invest: | 100000 | 2006-1-18 | |
| Stocks | Weights | Entry Price | Shares |
| MCO | 28.09% | 62.38 | 450 |
| UNH | 18.91% | 61.01 | 310 |
| COH | 5.78% | 32.67 | 177 |
| XTO | 8.13% | 46.34 | 175 |
| ADSK | 6.29% | 42.47 | 148 |
| SAFC | 7.97% | 56.8201 | 140 |
| HSY | 15.12% | 55 | 275 |
| LMT | 9.71% | 65.32 | 149 |
| Portfolio Monthly Return: | 2.5167% |
| Portfolio Variance: | 0.0487% |
| Portfolio Std Dev: | 2.2058% |
| Sum of Weights: | 1 |
| Annual Risk Free: | 2.5000% |
| Monthly Risk-Free Rate: | 0.2060% |
| Reward/Variability (Sharpe): | 1.0476 |
| Annulized Return: | 34.7521% |
| Historical Data Used: | 5 Years |
| Monthly Return 95% Confidence Interval | |
| Upper Limit: | 3.0748% |
| Lower Limit: | 1.9586% |
Sunday, January 15, 2006
Stock Picks from S & P 500 with 1.35 Sharpe Ratio
| Money to Invest: | 100000 | 2006-1-15 | |
| Stocks | Weights | Entry Price | Shares |
| MCO | 11.99% | 64.21 | 187 |
| UNH | 5.69% | 60.94 | 93 |
| SUN | 2.07% | 88.34 | 23 |
| BLL | 10.75% | 41.02 | 262 |
| PSA | 8.66% | 71.65 | 121 |
| GILD | 5.82% | 59.4 | 98 |
| BR | 6.33% | 88.34 | 72 |
| XTO | 1.52% | 45.6 | 33 |
| SAFC | 5.22% | 57.81 | 90 |
| BSX | 2.35% | 25.2 | 93 |
| WWY | 5.04% | 66.83 | 75 |
| HSY | 10.49% | 54.45 | 193 |
| LMT | 5.15% | 65.79 | 78 |
| RBK | 2.29% | 58.55 | 39 |
| FSH | 3.30% | 65.4 | 50 |
| MYL | 3.96% | 20.56 | 193 |
| SEE | 0.72% | 54.52 | 13 |
| HCA | 3.95% | 50.94 | 78 |
| CCE | 0.91% | 19.47 | 47 |
| MDT | 3.79% | 58.34 | 65 |
| Portfolio Monthly Return: | 2.0912% |
| Portfolio Variance: | 0.0194% |
| Portfolio Std Dev: | 1.3913% |
| Sum of Weights: | 1 |
| Annual Risk Free: | 2.5000% |
| Monthly Risk-Free Rate: | 0.2060% |
| Reward/Variability (Sharpe): | 1.3551 |
| Annulized Return: | 28.1919% |
| Historical Data Used: | 5 Years |
| Monthly Return 95% Confidence Interval | |
| Upper Limit: | 2.4433% |
| Lower Limit: | 1.7392% |
Here is where I dump my thoughts. You can contact me at zhengfang@hotmail.com for deeper discussion.
Articles by me:
3 Steps To Profitable Stock Picking
Learn Stock Trading From Playing Poker
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