Top Performing Stock Models

Guru Based on	Strategy Name	Number Of Stocks	Rebalancing	Annual Return	S&P 500	+/- S&P 500
Dashan Huang	Twin Momentum Investor	10	Monthly	22.4%	12.9%	9.5%
Partha Mohanram	P/B Growth Investor	10	Tax Efficient	15.9%	7.4%	8.5%
James O'Shaughnessy	Value Composite Investor	10	Tax Efficient	20.4%	12.9%	7.5%
Motley Fool	Small-Cap Growth Investor	10	Tax Efficient	14.4%	7.9%	6.5%
Wesley Gray	Quantitative Momentum Investor	20	Monthly	12.9%	7.6%	5.3%
Patrick O'Shaughnessy	Millennial Investor	10	Monthly	18.1%	12.9%	5.2%
Wayne Thorp	Earnings Revision Investor	10	Monthly	17.2%	12.9%	4.3%
Meb Faber	Shareholder Yield Investor	10	Monthly	17.1%	12.9%	4.2%
Martin Zweig	Growth Investor	20	Tax Efficient	11.8%	7.9%	3.9%
Validea	Momentum Investor	10	Monthly	11.5%	7.9%	3.6%

* 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	13.4%	9.3%	4.1%	0.58	18.9%	34.7%	0.64
Factor Rotation - Composite with Trend	13.0%	9.3%	3.7%	0.57	18.8%	40.7%	0.62
Factor Rotation - Momentum	12.0%	9.3%	2.7%	0.95	22.8%	57.3%	0.47
Factor Rotation - Composite	11.3%	9.3%	2.0%	0.98	23.5%	64.0%	0.42
Factor Rotation - Macro with Trend	11.0%	9.3%	1.7%	0.56	18.1%	38.9%	0.53

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

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Our Latest Articles

1/6/2021

The Case Againt Value Stocks - Part II

By Jack Forehand (@practicalquant)

It would be an understatement to say that the last decade has been a challenging one for value investors. The problems were initially isolated to certain value metrics (i.e. Price/Book) and more contained in strategies that overweighted certain sectors, but in the past few years the damage spilled over into pretty much any way you tried to represent value. And just when it seemed things couldn’t get any worse, the coronavirus came in and dealt one more horrible gut punch to value.

12/30/2020

The Five Podcasts That I Never Miss an Episode Of

By Jack Forehand (@practicalquant)

Early in my career, I thought I knew everything. I started investing during a period where the types of strategies we run, many of which have significant exposure to both the size and value factors, performed very well. That made me think that investing is much easier than it really is. The past decade, when both of those factors have had significant negative premiums, has proven just how wrong I was about that.

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Our Podcast - Excess Returns

1/11/2021

Episode 64: Breaking Down the Investment Strategy of Peter Lynch

Peter Lynch is one of the most successful mutual fund managers of all time. Lynch guided Fidelity Investment's Magellan Fund to a 29.2 percent average annual return from 1977 until his retirement in 1990, almost doubling the S&P 500's 15.8 percent yearly return over that time. And he did it with an approach that is very unique among history's most successful investors. In its paper Superstar Investors, AQR tried to use factors explain the historical performance of some of the best investors of all time, and Lynch's performance was the most difficult to explain using that framework. In this episode, we look at Lynch's approach to investing and our quantitative strategy based on him, which we extracted from his book One Up On Wall Street. We also look at why his strategy is so difficult to quantify.

1/4/2021

Episode 63: The Importance of Expectations in Investing

There is a common misconception that a good company is always a good investment. But that sometimes isn't the case. The reason for that comes down to the role that expectations play in investing. Companies with good fundamentals typically have high expectations built into their stock price, while companies with poor fundamentals typically have low expectations embedded in their price. But either way, the key for investors is identifying companies where there is a gap between expectations and reality. In this episode, we look at the importance of expectations in investing and how investors can look at this issue. We also look at some systematic ways to take advantage of the differences between expectations and reality.

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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.

Rolf D.

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!

Urs K.

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Analysis of 6000+ stocks using the proven strategies of investment legends like Warren Buffett, Benjamin Graham and Peter Lynch. See the details behind "why" some stocks look good and others don't through the guru methodologies.

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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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