Aggressive is an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. Each screen produces an exceptional trading plan by itself, but when the two are combined, the volatility of returns is reduced without much degradation of total returns. This is because their backtested, detrended equity curves have relatively low correlation.

Information is as of the close on November 23, 2007.

Screen One

Qualifiers for this screen are sorted by Price/Sales ratio, from lowest to highest.

Chiquita Brands New (CQB)
Longs Drug Strs Inc (LDG)
Lyondell Chem Co (LYO)
Rehabcare Group Inc (RHB)
Enersys (ENS)
Medcohealth Solutns (MHS)
Hawk Corporation (HWK)
U R S Cp (URS)
Fcstone Group, Inc. (FCSX)
Pepsi Bottling Grp (PBG)

Screen Two

Qualifiers for this screen are sorted by recent speculative interest, from highest to lowest.

Helmerich Payne (HP)
Flagstone Reinsurance (FSR)
Teco Energy Inc (TE)
Cimarex Energy Co (XEC)
Max Capital Group Ltd. (MXGL)
PartnerRe Ltd (PRE)
Merchants Bancshares, Inc. (MBVT)
Cleco Cp (CNL)
Edison Intl (EIX)
Fairfax Finl Hld Sub (FFH)

Model Allocation

This system would buy an equal-weighted share (approx. 5%) in each security, and hold for four weeks before re-evaluating.

Tracking

Consider this site’s initial post on the model to be a “buy” on Monday’s open, at market, for the above allocations.