Top Performing Stock Models

Guru Based on	Strategy Name	Number Of Stocks	Rebalancing	Annual Return	S&P 500	+/- S&P 500
Partha Mohanram	P/B Growth Investor	10	Tax Efficient	14.7%	6.5%	8.2%
Dashan Huang	Twin Momentum Investor	10	Monthly	20.0%	11.9%	8.1%
Motley Fool	Small-Cap Growth Investor	10	Monthly	12.2%	7.1%	5.0%
Martin Zweig	Growth Investor	20	Tax Efficient	10.2%	7.1%	3.1%
Validea	Momentum Investor	20	Tax Efficient	10.2%	7.1%	3.1%
Patrick O'Shaughnessy	Millennial Investor	20	Monthly	14.6%	11.9%	2.7%
Wayne Thorp	Earnings Revision Investor	10	Quarterly	15.1%	12.4%	2.7%
Wesley Gray	Quantitative Momentum Investor	20	Monthly	9.3%	6.7%	2.6%
Peter Lynch	P/E/Growth Investor	20	Tax Efficient	9.4%	7.1%	2.3%
James O'Shaughnessy	Value Composite Investor	10	Tax Efficient	14.1%	11.9%	2.2%

* Returns are model returns and do not reflect actual trading. Full performance disclaimer

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Top Performing ETF Models

Portfolio	Annual Return	Benchmark	+/- Benchmark	Beta	Standard Deviation	Maximum Drawdown	Sharpe Ratio
Factor Rotation - Momentum with Trend	11.2%	8.3%	2.9%	0.57	18.5%	34.6%	0.53
Factor Rotation - Momentum with Trend	11.0%	8.3%	2.7%	0.57	18.6%	34.7%	0.52
Factor Rotation - Composite with Trend	10.7%	8.3%	2.4%	0.56	18.3%	40.6%	0.51
Factor Rotation - Composite with Trend	10.7%	8.3%	2.4%	0.56	18.5%	40.7%	0.51
Factor Rotation - Macro with Trend	10.2%	8.3%	1.9%	0.55	17.9%	38.3%	0.49

* Returns are model returns and do not reflect actual trading. Full performance disclaimer

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Our Latest Articles

7/8/2020

The Danger of Learning From Your Mistakes

By Jack Forehand, CFA (@practicalquant)

One of the major changes I have made in my life in the past few years is that I have significantly increased my focus on learning. In the past, I tended to focus too much on the things I knew, while not focusing enough on the things I didn’t. That changed for me when I realized that no matter how much I know, the number of things I don’t know will always far outnumber those that I do.

7/1/2020

Is the Price/Book Dead?

By Jack Forehand, CFA (@practicalquant)

The Price/Book has probably been the most important valuation ratio of the past century. If you look at the academic research that supports value investing, you won’t find any other ratio that is referenced more often. When Fama and French built their famous 3 factor model, value was measured using the Book/Market, which is the inverse of the Price/Book, and much of the academic research since then has followed suit. Since many quantitative value funds and ETFs take their lead from the academic research, they have also relied more heavily on the Price/Book than any other valuation ratio.

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Our Podcast - Excess Returns

7/13/2020

Episode 32: Is the Price/Book Ratio Dead?

The Price/Book ratio has probably been the most important valuation ratio of the past century. If you look at the academic research that supports value investing, you won’t find any other ratio that is referenced more often. There is also no ratio that is used more by systematic value funds. But the rise on intangible assets and other factors have led many to question whether the ratio has value any more. In this episode, we look at the arguments for and against the Price/Book and whether it should still have a place in value portfolios.

7/6/2020

Episode 31: Can Warren Buffett Be Quantified?

In this episode, we are going to try something a little different. Our goal at Validea is to capture quantitative strategies that work over the long-term. To do that, we go through books and academic papers to find factor-based models with results to back them up. We are going to periodically do some episodes for the podcast where we do a deep dive into these strategies and look at the factors behind them. In the first episode, we will take a detailed look at our strategy based on Warren Buffett, which was extracted from the book Buffettology. But before we look at the strategy's criteria in detail, we start with a more basic question: Can Warren Buffett be quantified?

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Videos

Webinar: An Overview of Validea

A detailed look at the site and how to use it.

Top Quant and ETF Strategies in a Historic Market

A look at some of our strategies and how they worked in the historic 2020 market

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What Our Users Are Saying About Validea

Validea is an incredible valuable tool to have. I depend on it for much of my research to help weed out stocks for my portfolio designs. The filters used for stock selection are easy to use and comes with a detailed analysis as to the why each particular stock either passes or fails the test. The articles & blogs are a great wealth of knowledge too.

Eric J.
Financial Advisor

As a retail investor, I particularly value Validea’s top-notch research capability. With the deluge of investment commentary available via innumerable blogs, articles, FinTwits, white papers, podcasts, etc., the Validea team is one of my go-to sources to maintain some perspective on what's really happening.

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I am always checking my investment/trading ideas with Validea. I feel better knowing that any of the guru models they are following might also be on my side!

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Performance Disclaimer: Returns presented on Validea.com are model returns and do not represent actual trading. As a result, they do not incorporate any commissions or other trading costs or fees. Model portfolios with inception dates on or after 12/30/2005 include a combination of back tested and live model returns. The back-tested performance results shown are hypothetical and are not the result of real-time management of actual accounts. The back-testing of performance differs from actual account performance because the investment strategy may be adjusted at any time, for any reason and can continue to be changed until desired or better performance results are achieved. Back-tested returns are presented to provide general information regarding how the underlying strategy behind the portfolio performed in our historical testing. A back-tested strategy has the benefit of hindsight and the results do not reflect the impact that material economic or market factors may have had on advisor's decision-making if actual client assets were being managed using this approach.

Optimal portfolios presented on Validea.com represent the rebalancing period that has led to the best historical performance for each of our equity models. Each optimal portfolio was determined after the fact with performance information that was not available at portfolio inception. As a result, an investor could not have invested in the optimal portfolio since its inception. Optimal portfolios are presented to allow investors to quickly determine the portfolio size and rebalancing period that has performed best for each of our models in our historical testing.

Both the model portfolio and benchmark returns presented for all equity portfolios on Validea.com are not inclusive of dividends. Returns for our ETF portfolios and trend following system, and the benchmarks they are compared to, are inclusive of dividends. The S&P 500 is presented as a benchmark because it is the most widely followed benchmark of the overall US market and is most often used by investors for return comparison purposes. As with any investment strategy, there is potential for profit as well as the possibility of loss and investors may incur a loss despite a past history of gains. Past performance does not guarantee future results. Results will vary with economic and market conditions.

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