| Back To Comparative Analysis | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Example: | January Portfolio (Haugen Strategy) | 2005 Month-by-Month Portfolio Results: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| J A N U A R Y | F E B R U A R Y | M A R C H | A P R I L | M A Y | J U N E | J U L Y | A U G U S T | S E P T E M B E R | O C T O B E R | N O V E M B E R | D E C E M B E R | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Backtest started January, 1996 | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | Ticker | Exp. Ret. | Price | Sector | Position | Start Val. | Return | End Val. | ||||||
| with 50-stock portfolios, | SPX Index | -2.44% | SPX Index | 2.10% | SPX Index | -1.77% | SPX Index | -1.90% | SPX Index | 3.18% | SPX Index | 0.14% | SPX Index | 3.72% | SPX Index | -0.91% | SPX Index | 0.81% | SPX Index | -1.67% | SPX Index | 3.80% | SPX Index | 0.04% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| and 4 stocks rebalanced | HRP US Equity | 18.70% | $12.83 | Financial | 2736.05 | $76,810 | -7.17% | $71,302 | HRP US Equity | 18.65% | $11.91 | Financial | 2736.05 | $71,302 | 6.47% | $75,912 | HIB US Equity | 16.38% | $25.67 | Financial | 2926.88 | $99,027 | 24.70% | $123,485 | HIB US Equity | 16.47% | $32.01 | Financial | 2926.88 | $123,485 | -1.81% | $121,247 | HIB US Equity | 17.46% | $31.23 | Financial | 2926.88 | $121,247 | 2.95% | $124,819 | ALL US Equity | 18.58% | $58.20 | Financial | 2188.57 | $148,046 | 2.66% | $151,989 | ALL US Equity | 17.25% | $59.75 | Financial | 2188.57 | $151,989 | 2.53% | $155,830 | ALL US Equity | 16.10% | $61.26 | Financial | 2188.57 | $155,830 | -7.72% | $143,798 | ALL US Equity | 14.60% | $56.21 | Financial | 2188.57 | $143,798 | -1.64% | $141,445 | ADM US Equity | 15.42% | $24.66 | Non Durables | 7842.27 | $245,109 | -1.18% | $242,227 | ADM US Equity | 17.21% | $24.37 | Non Durables | 7842.27 | $242,227 | -2.93% | $235,120 | ADM US Equity | 15.56% | $23.57 | Non Durables | 7842.27 | $235,120 | 4.62% | $245,993 | ||||||
| each month. | HIB US Equity | 17.86% | $29.51 | Financial | 2926.88 | $112,960 | -10.81% | $100,749 | HIB US Equity | 23.10% | $26.32 | Financial | 2926.88 | $100,749 | -1.71% | $99,027 | ALL US Equity | 18.79% | $53.68 | Financial | 2188.57 | $135,802 | 0.71% | $136,763 | ALL US Equity | 20.42% | $54.06 | Financial | 2188.57 | $136,763 | 3.88% | $142,076 | ALL US Equity | 20.70% | $56.16 | Financial | 2188.57 | $142,076 | 4.20% | $148,046 | ADM US Equity | 18.85% | $19.85 | Non Durables | 7842.27 | $196,558 | 7.71% | $211,708 | ADM US Equity | 21.26% | $21.38 | Non Durables | 7842.27 | $211,708 | 7.30% | $227,155 | ADM US Equity | 18.90% | $22.94 | Non Durables | 7842.27 | $227,155 | -1.50% | $223,739 | ADM US Equity | 16.49% | $22.51 | Non Durables | 7842.27 | $223,739 | 9.55% | $245,109 | RPM US Equity | 15.90% | $18.40 | Construction | 8995.45 | $191,921 | 2.07% | $195,885 | RPM US Equity | 15.90% | $18.40 | Construction | 8995.45 | $195,885 | -0.11% | $195,675 | NVR US Equity | 17.17% | $687.25 | Construction | 337.16 | $230,483 | 2.15% | $235,430 | ||||||
| ALL US Equity | 20.51% | $51.72 | Financial | 2188.57 | $130,843 | -2.47% | $127,605 | ALL US Equity | 21.61% | $50.44 | Financial | 2188.57 | $127,605 | 6.42% | $135,802 | ADM US Equity | 18.74% | $24.10 | Non Durables | 7842.27 | $237,624 | 1.99% | $242,357 | ADM US Equity | 21.15% | $24.58 | Non Durables | 7842.27 | $242,357 | -26.81% | $177,380 | ADM US Equity | 22.73% | $17.99 | Non Durables | 7842.27 | $177,380 | 10.81% | $196,558 | HMT US Equity | 21.98% | $16.75 | Financial | 8204.62 | $155,267 | 5.07% | $163,147 | HMT US Equity | 19.34% | $17.50 | Financial | 8204.62 | $163,147 | 6.57% | $173,868 | HMT US Equity | 18.96% | $18.65 | Financial | 8204.62 | $173,868 | -6.22% | $163,053 | HMT US Equity | 15.92% | $17.49 | Financial | 8204.62 | $163,053 | -2.74% | $158,579 | NVR US Equity | 19.22% | $884.95 | Construction | 337.16 | $296,786 | -22.54% | $229,897 | NVR US Equity | 20.13% | $685.50 | Construction | 337.16 | $229,897 | 0.26% | $230,483 | LEH US Equity | 19.75% | $126.00 | Financial | 2381.09 | $295,846 | 1.72% | $300,942 | |||||||
| ASN US Equity | 18.79% | $38.30 | Financial | 2403.63 | $133,777 | -10.44% | $119,805 | ASN US Equity | 21.73% | $34.30 | Financial | 2403.63 | $119,805 | -0.11% | $119,674 | HMT US Equity | 21.99% | $15.98 | Financial | 8204.62 | $148,130 | 3.63% | $153,506 | HMT US Equity | 19.83% | $16.56 | Financial | 8204.62 | $153,506 | 1.57% | $155,916 | HMT US Equity | 22.29% | $16.82 | Financial | 8204.62 | $155,916 | -0.42% | $155,267 | RPM US Equity | 20.59% | $17.60 | Construction | 8995.45 | $182,120 | 3.75% | $188,950 | RPM US Equity | 19.60% | $18.26 | Construction | 8995.45 | $188,950 | 3.50% | $195,572 | RPM US Equity | 23.69% | $18.75 | Construction | 8995.45 | $195,572 | 1.07% | $197,658 | RPM US Equity | 17.62% | $18.95 | Construction | 8995.45 | $197,658 | -2.90% | $191,921 | PVN US Equity | 19.80% | $18.60 | Financial | 16347.22 | $271,724 | $271,724 | LPX US Equity | 18.77% | $24.93 | Non Durables | 8083.99 | $220,369 | 8.68% | $239,506 | LTR US Equity | 19.72% | $96.58 | Financial | 3718.25 | $370,859 | -1.79% | $364,216 | ||||||||
| ADM US Equity | 15.97% | $22.31 | Non Durables | 7842.27 | $219,202 | 8.47% | $237,772 | ADM US Equity | 20.99% | $24.20 | Non Durables | 7842.27 | $237,772 | -0.06% | $237,624 | RDN US Equity | 15.86% | $48.33 | Financial | 2392.42 | $131,554 | -1.22% | $129,948 | RDN US Equity | 16.70% | $47.74 | Financial | 2392.42 | $129,948 | -6.93% | $120,939 | RPM US Equity | 18.95% | $17.25 | Construction | 8995.45 | $178,498 | 2.03% | $182,120 | NVR US Equity | 27.99% | $759.39 | Construction | 337.16 | $254,677 | 6.66% | $271,650 | NVR US Equity | 27.23% | $810.00 | Construction | 337.16 | $271,650 | 15.80% | $314,578 | NVR US Equity | 25.44% | $938.00 | Construction | 337.16 | $314,578 | -5.65% | $296,803 | NVR US Equity | 25.14% | $885.00 | Construction | 337.16 | $296,803 | -0.01% | $296,786 | LPX US Equity | 17.03% | $27.69 | Non Durables | 8083.99 | $244,766 | -9.97% | $220,369 | LEH US Equity | 20.37% | $119.67 | Financial | 2381.09 | $280,538 | 5.46% | $295,846 | AFG US Equity | 17.43% | $33.93 | Financial | 6025.51 | $236,389 | 3.12% | $243,770 | |||||||
| HMT US Equity | 22.37% | $17.30 | Financial | 8204.62 | $160,366 | -7.51% | $148,315 | HMT US Equity | 21.03% | $16.00 | Financial | 8204.62 | $148,315 | -0.12% | $148,130 | RPM US Equity | 22.20% | $18.73 | Construction | 8995.45 | $192,142 | -2.40% | $187,526 | RPM US Equity | 20.39% | $18.28 | Construction | 8995.45 | $187,526 | -4.81% | $178,498 | PDG US Equity | 16.09% | $13.36 | Manufacturing | 11319.05 | $170,807 | 1.20% | $172,853 | PVN US Equity | 17.91% | $17.82 | Financial | 16347.22 | $273,876 | -1.07% | $270,956 | PVN US Equity | 19.72% | $17.63 | Financial | 16347.22 | $270,956 | 7.20% | $290,474 | PVN US Equity | 19.84% | $18.90 | Financial | 16347.22 | $290,474 | -1.59% | $285,864 | PVN US Equity | 19.80% | $18.60 | Financial | 16347.22 | $285,864 | -4.95% | $271,724 | LEH US Equity | 15.71% | $116.48 | Financial | 2381.09 | $273,060 | 2.74% | $280,538 | LTR US Equity | 21.66% | $92.98 | Financial | 3718.25 | $356,482 | 4.03% | $370,859 | HIG US Equity | 22.40% | $87.37 | Financial | 2680.29 | $243,935 | -1.69% | $239,803 | |||||||
| Test Methodology | RDN US Equity | 15.84% | $53.24 | Financial | 2392.42 | $144,860 | -9.95% | $130,439 | RDN US Equity | 19.74% | $47.94 | Financial | 2392.42 | $130,439 | 0.86% | $131,554 | PDG US Equity | 18.86% | $17.29 | Manufacturing | 11319.05 | $221,052 | -6.19% | $207,372 | PDG US Equity | 16.80% | $16.22 | Manufacturing | 11319.05 | $207,372 | -17.63% | $170,807 | NVR US Equity | 28.71% | $718.35 | Construction | 337.16 | $240,913 | 5.71% | $254,677 | LPX US Equity | 18.92% | $25.18 | Non Durables | 8083.99 | $221,484 | -2.38% | $216,206 | LPX US Equity | 17.28% | $24.58 | Non Durables | 8083.99 | $216,206 | 9.11% | $235,909 | LPX US Equity | 21.63% | $26.82 | Non Durables | 8083.99 | $235,909 | -5.24% | $223,551 | LPX US Equity | 15.89% | $25.29 | Non Durables | 8083.99 | $223,551 | 9.49% | $244,766 | LTR US Equity | 19.71% | $92.41 | Financial | 3718.25 | $354,296 | 0.62% | $356,482 | AFG US Equity | 17.43% | $33.93 | Financial | 6025.51 | $217,490 | 8.69% | $236,389 | CNA US Equity | 18.10% | $34.05 | Financial | 5753.22 | $203,268 | -3.88% | $195,388 | ||||||
| Region | U.S. | DRE US Equity | 16.91% | $34.14 | Financial | 4034.68 | $183,808 | -8.90% | $167,441 | DRE US Equity | 20.10% | $31.10 | Financial | 4034.68 | $167,441 | 3.36% | $173,067 | NVR US Equity | 32.74% | $792.25 | Construction | 337.16 | $265,697 | -0.92% | $263,266 | NVR US Equity | 31.56% | $785.00 | Construction | 337.16 | $263,266 | -8.49% | $240,913 | PVN US Equity | 18.48% | $16.67 | Financial | 16347.22 | $256,201 | 6.90% | $273,876 | UNM US Equity | 18.17% | $18.36 | Financial | 9392.64 | $193,801 | -0.22% | $193,379 | UNM US Equity | 18.50% | $18.32 | Financial | 9392.64 | $193,379 | 4.94% | $202,932 | UNM US Equity | 17.60% | $19.15 | Financial | 9392.64 | $202,932 | 0.89% | $204,733 | UNM US Equity | 15.51% | $19.32 | Financial | 9392.64 | $204,733 | 6.11% | $217,238 | AFG US Equity | 17.43% | $33.93 | Financial | 6025.51 | $215,113 | 1.11% | $217,490 | HIG US Equity | 21.36% | $79.75 | Financial | 2680.29 | $221,898 | 9.93% | $243,935 | ANAT US Equity | 18.73% | $117.14 | Financial | 1855.71 | $232,042 | -0.13% | $231,745 | |||||
| Population | Top 1,000 | RPM US Equity | 23.38% | $19.66 | Construction | 8995.45 | $201,683 | -10.33% | $180,858 | RPM US Equity | 26.75% | $17.63 | Construction | 8995.45 | $180,858 | 6.24% | $192,142 | PVN US Equity | 15.97% | $17.15 | Financial | 16347.22 | $263,579 | 0.06% | $263,732 | PVN US Equity | 16.82% | $17.16 | Financial | 16347.22 | $263,732 | -2.86% | $256,201 | LPX US Equity | 17.82% | $24.60 | Non Durables | 8083.99 | $215,313 | 2.87% | $221,484 | LEH US Equity | 18.66% | $92.20 | Financial | 2381.09 | $215,733 | 7.68% | $232,299 | LEH US Equity | 19.53% | $99.28 | Financial | 2381.09 | $232,299 | 5.89% | $245,987 | LEH US Equity | 19.83% | $105.13 | Financial | 2381.09 | $245,987 | 0.69% | $247,695 | LEH US Equity | 15.69% | $105.66 | Financial | 2381.09 | $247,695 | 10.24% | $273,060 | HIG US Equity | 13.91% | $77.17 | Financial | 2680.29 | $214,719 | 3.34% | $221,898 | CNA US Equity | 22.63% | $30.79 | Financial | 5753.22 | $183,807 | 10.59% | $203,268 | PCZ US Equity | 15.09% | $38.12 | Non Durables | 2134.26 | $168,236 | 5.17% | $176,931 | |||||
| # of stocks | 50 | PDG US Equity | 18.76% | $18.86 | Manufacturing | 11319.05 | $241,124 | -9.60% | $217,984 | PDG US Equity | 20.67% | $17.05 | Manufacturing | 11319.05 | $217,984 | 1.41% | $221,052 | IDC US Equity | 17.56% | $20.52 | Financial | 10305.22 | $218,096 | 2.57% | $223,702 | LPX US Equity | 20.26% | $25.14 | Non Durables | 8083.99 | $220,040 | -2.15% | $215,313 | UNM US Equity | 22.06% | $16.72 | Financial | 9392.64 | $176,490 | 9.81% | $193,801 | LTR US Equity | 19.03% | $75.30 | Financial | 3718.25 | $288,204 | 2.92% | $296,624 | LTR US Equity | 18.05% | $77.50 | Financial | 3718.25 | $296,624 | 7.91% | $320,086 | LTR US Equity | 17.22% | $83.63 | Financial | 3718.25 | $320,086 | 5.03% | $336,200 | LTR US Equity | 17.02% | $87.69 | Financial | 3718.25 | $336,200 | 5.38% | $354,296 | CNA US Equity | 18.09% | $29.87 | Financial | 5753.22 | $178,315 | 3.08% | $183,807 | ANAT US Equity | 22.91% | $117.93 | Financial | 1855.71 | $232,121 | -0.03% | $232,042 | MKL US Equity | 18.83% | $317.25 | Financial | 484.66 | $154,032 | -0.06% | $153,935 | |||||
| First Date | 1996 | NVR US Equity | 22.45% | $769.40 | Construction | 337.16 | $258,034 | 2.84% | $265,362 | NVR US Equity | 34.66% | $791.25 | Construction | 337.16 | $265,362 | 0.13% | $265,697 | LPX US Equity | 19.51% | $26.27 | Non Durables | 8083.99 | $229,930 | -4.30% | $220,040 | UNM US Equity | 25.11% | $17.02 | Financial | 9392.64 | $178,854 | -1.32% | $176,490 | LEH US Equity | 18.88% | $91.72 | Financial | 2381.09 | $214,145 | 0.74% | $215,733 | AFG US Equity | 16.70% | $32.42 | Financial | 6025.51 | $204,783 | 3.39% | $211,731 | AFG US Equity | 17.36% | $33.52 | Financial | 6025.51 | $211,731 | 1.33% | $214,542 | AFG US Equity | 17.61% | $33.84 | Financial | 6025.51 | $214,542 | -0.92% | $212,577 | AFG US Equity | 16.48% | $33.53 | Financial | 6025.51 | $212,577 | 1.19% | $215,113 | ANAT US Equity | 15.93% | $119.12 | Financial | 1855.71 | $234,463 | -1.00% | $232,121 | PCZ US Equity | 37.15% | $34.75 | Non Durables | 2134.26 | $153,019 | 9.94% | $168,236 | IMO US Equity | 23.64% | $91.81 | Non Durables | 1745.61 | $165,568 | 8.48% | $179,617 | |||||
| Last Date | 12/31/05 | PVN US Equity | 18.87% | $16.47 | Financial | 16347.22 | $253,128 | 1.28% | $256,355 | PVN US Equity | 18.88% | $16.68 | Financial | 16347.22 | $256,355 | 2.82% | $263,579 | UNM US Equity | 23.51% | $16.92 | Financial | 9392.64 | $177,804 | 0.59% | $178,854 | LEH US Equity | 18.63% | $94.16 | Financial | 2381.09 | $219,842 | -2.59% | $214,145 | LTR US Equity | 22.96% | $70.88 | Financial | 3718.25 | $270,748 | 6.45% | $288,204 | HIG US Equity | 17.90% | $74.79 | Financial | 2680.29 | $207,274 | -0.01% | $207,247 | HIG US Equity | 15.23% | $74.78 | Financial | 2680.29 | $207,247 | 7.74% | $223,293 | HIG US Equity | 15.49% | $80.57 | Financial | 2680.29 | $223,293 | -8.97% | $203,256 | HIG US Equity | 15.18% | $73.05 | Financial | 2680.29 | $203,256 | 5.64% | $214,719 | TE US Equity | 13.94% | $18.02 | Utilities | 13724.64 | $270,214 | -4.00% | $259,418 | MKL US Equity | 21.13% | $318.00 | Financial | 484.66 | $154,396 | -0.24% | $154,032 | TSO US Equity | 24.32% | $55.07 | Non Durables | 4894.39 | $281,036 | 11.77% | $314,105 | |||||
| Sector Constrain | No | CD US Equity | 16.80% | $23.38 | Financial | 9594.52 | $225,139 | 0.73% | $226,776 | IDC US Equity | 17.56% | $20.52 | Financial | 10305.22 | $229,847 | -5.11% | $218,096 | LEH US Equity | 16.95% | $91.18 | Financial | 2381.09 | $212,885 | 3.27% | $219,842 | LTR US Equity | 22.24% | $73.54 | Financial | 3718.25 | $280,908 | -3.62% | $270,748 | AFG US Equity | 19.39% | $31.09 | Financial | 6025.51 | $196,382 | 4.28% | $204,783 | CNA US Equity | 16.61% | $27.58 | Financial | 5753.22 | $164,644 | 3.05% | $169,659 | CNA US Equity | 17.57% | $28.42 | Financial | 5753.22 | $169,659 | 5.59% | $179,151 | CNA US Equity | 15.55% | $30.01 | Financial | 5753.22 | $179,151 | -3.47% | $172,942 | CNA US Equity | 17.07% | $28.97 | Financial | 5753.22 | $172,942 | 3.11% | $178,315 | PCZ US Equity | 34.79% | $41.73 | Non Durables | 2134.26 | $183,755 | -16.73% | $153,019 | IMO US Equity | 38.88% | $87.83 | Non Durables | 1745.61 | $158,037 | 4.77% | $165,568 | BAM US Equity | 15.97% | $47.78 | Financial | 4785.81 | $231,674 | 5.34% | $244,039 | |||||
| Rebalance periodicity | Monthly | IDC US Equity | 17.56% | $20.52 | Financial | 10305.22 | $234,375 | -1.93% | $229,847 | LPX US Equity | 29.89% | $25.60 | Non Durables | 8083.99 | $223,216 | 3.01% | $229,930 | LTR US Equity | 23.05% | $71.28 | Financial | 3718.25 | $272,276 | 3.17% | $280,908 | AFG US Equity | 19.71% | $30.80 | Financial | 6025.51 | $193,771 | 1.35% | $196,382 | HIG US Equity | 18.54% | $72.37 | Financial | 2680.29 | $199,793 | 3.74% | $207,274 | ANAT US Equity | 17.74% | $115.40 | Financial | 1855.71 | $224,181 | -0.65% | $222,724 | ANAT US Equity | 18.60% | $113.91 | Financial | 1855.71 | $222,724 | 1.11% | $225,188 | ANAT US Equity | 16.30% | $115.17 | Financial | 1855.71 | $225,188 | -2.96% | $218,520 | ANAT US Equity | 15.91% | $111.02 | Financial | 1855.71 | $218,520 | 7.30% | $234,463 | MKL US Equity | 17.31% | $330.50 | Financial | 484.66 | $160,465 | -3.78% | $154,396 | TSO US Equity | 32.76% | $61.15 | Non Durables | 4894.39 | $311,498 | -9.78% | $281,036 | LLL US Equity | 13.43% | $74.50 | Business Equipment | 2157.19 | $163,423 | -0.20% | $163,094 | |||||
| Number to rebalance | 4 | LPX US Equity | 26.07% | $26.74 | Non Durables | 8083.99 | $233,156 | -4.26% | $223,216 | UNM US Equity | 24.60% | $17.17 | Financial | 9392.64 | $180,431 | -1.46% | $177,804 | AFG US Equity | 19.40% | $30.49 | Financial | 6025.51 | $191,821 | 1.02% | $193,771 | HIG US Equity | 20.65% | $68.56 | Financial | 2680.29 | $189,275 | 5.56% | $199,793 | CNA US Equity | 21.68% | $27.45 | Financial | 5753.22 | $163,868 | 0.47% | $164,644 | TE US Equity | 18.13% | $17.68 | Utilities | 13724.64 | $262,254 | 6.96% | $280,499 | TE US Equity | 18.56% | $18.91 | Utilities | 13724.64 | $280,499 | 0.26% | $281,241 | TE US Equity | 18.34% | $18.96 | Utilities | 13724.64 | $281,241 | -7.17% | $261,067 | TE US Equity | 16.68% | $17.41 | Utilities | 13724.64 | $261,067 | 3.50% | $270,214 | IMO US Equity | 40.40% | |||||||||||||||||||||||||||