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       HAUGEN SYSTEMS ALTERNATIVE RATIO PORTFOLIO BACKTESTS
In this test we checked on how different two-factor pairings would have done.  Just like with the Greenblatt Backtest Parameters:
strategy, the factors were ranked and added together to produce an overall ranking for each stock. Region   U.S.
Then we constructed the portfolios just as in the previous test: the population is the largest 1000 US stocks, Population Top 1,000
50 stocks were held each month, four stocks were rebalanced each month, and 12 monthly portfolios were run # of stocks 50
(each starting on a different month) for each pairing.  The portfolio returns were linked to produce annual First Date 1996
returns, and the 12 different portfolios' annual returns were averaged and presented below. Last Date 12/31/05
Since our previous results indicated that sector omissions were unimportant, all sectors were included in these tests. Sector Constrain No
For comparison purposes, the Haugen Model's average annual returns (from the same portfolio methodology) Rebalance periodicity Monthly
are presented along with the annual S&P 500 returns. Number to rebalance 4
Greenblatt Earnings Return on  Return on  Return on  Earning Earnings Return on  Greenblatt Haugen S&P
Return on Assets Yield Equity Assets Assets Yield Yield Assets Returns Model 500
& Earnings Yld plus plus plus plus plus plus plus (from the   Index
All Profit Book to  Book to  Cash Flow Sales over Return on Sales to  book)    
Sectors Margin Price Price Yield Assets Equity Price      
                 ---------------------A  V  E  R  A  G  E    P  O  R  T  F  O  L  I  O    T  O  T  A  L    R  E  T  U  R  N-----------------------  
1996 30.96% 35.59% 32.99% 31.92% 31.07% 36.23% 31.60% 37.74% 37.40% 48.06% 22.96%
1997 11.13% 26.50% 25.57% 15.41% 13.43% 15.75% 20.17% 15.03% 41.00% 38.83% 33.36%
1998 8.91% 4.38% 1.46% 8.67% 8.60% -1.11% 5.32% 1.71% 32.60% 29.61% 28.58%
1999 12.35% 12.92% 6.16% 8.59% 12.94% 2.55% 4.78% 2.79% 14.40% 42.17% 21.04%
2000 17.28% 25.60% 24.93% 17.67% 19.06% 24.26% 21.69% 20.85% 12.80% -3.53% -9.11%
2001 7.61% 6.81% 9.34% 8.10% 8.86% 13.71% 5.25% 14.99% 38.20% 1.06% -11.89%
2002 6.50% 10.42% 9.66% 11.36% 7.15% 4.51% 3.67% 3.97% -25.30% 3.78% -22.10%
2003 31.13% 31.76% 38.11% 38.92% 33.21% 35.03% 32.77% 30.36% 50.50% 33.92% 28.68%
2004 23.29% 16.83% 22.26% 24.22% 24.70% 26.01% 21.62% 21.41% 27.60% 26.69% 10.88%
2005* 20.43% 20.54% 21.53% 18.27% 22.00% 18.39% 24.18% 18.14% N/A 32.70% 4.91%
Averge Linked Annual Ret. 16.64% 18.71% 18.65% 17.91% 17.77% 16.88% 16.60% 16.17% 23.27% 24.05% 9.07%
Average Annual Return 16.96% 19.14% 19.20% 18.31% 18.10% 17.53% 17.11% 16.70% 25.47% 25.33% 10.73%
Longitudinal Std.Dev. 9.22% 10.63% 12.06% 10.51% 9.43% 13.05% 11.39% 11.82% 22.61% 18.31% 19.51%
T-Stat 5.52 5.40 4.78 5.23 5.76 4.03 4.50 4.24 3.19 4.15 1.65
Probability Total Ret < 0 2.10% 2.63% 5.68% 3.43% 1.03% 9.82% 7.12% 8.60% 13.97% 9.11% 28.43%
                 ---------------------A  V  E  R  A  G  E    P  O  R  T  F  O  L  I  O    E  X  C  E  S  S    R  E  T  U  R  N-----------------------  
1996 8.00% 12.63% 10.03% 8.96% 8.11% 13.27% 8.64% 14.78% 14.44% 25.10% 0.00%
1997 -22.24% -6.86% -7.79% -17.95% -19.94% -17.61% -13.20% -18.33% 7.64% 5.46% 0.00%
1998 -19.67% -24.20% -27.12% -19.91% -19.98% -29.69% -23.26% -26.87% 4.02% 1.03% 0.00%
1999 -8.69% -8.13% -14.88% -12.45% -8.10% -18.49% -16.27% -18.25% -6.64% 21.13% 0.00%
2000 26.39% 34.70% 34.03% 26.77% 28.17% 33.36% 30.80% 29.96% 21.91% 5.58% 0.00%
2001 19.50% 18.70% 21.22% 19.99% 20.75% 25.59% 17.13% 26.88% 50.09% 12.94% 0.00%
2002 28.60% 32.53% 31.76% 33.46% 29.25% 26.61% 25.77% 26.07% -3.20% 25.88% 0.00%
2003 2.44% 3.07% 9.42% 10.23% 4.53% 6.35% 4.09% 1.68% 21.82% 5.24% 0.00%
2004 12.42% 5.95% 11.38% 13.34% 13.83% 15.13% 10.74% 10.54% 16.72% 15.82% 0.00%
2005* 15.52% 15.64% 16.62% 13.37% 17.09% 13.48% 19.27% 13.23% N/A 27.79% 0.00%
Average Annual Return 6.23% 8.40% 8.47% 7.58% 7.37% 6.80% 6.37% 5.97% 14.73% 14.60% 0.00%
Longitudinal Std.Dev. 18.04% 18.42% 19.76% 18.49% 18.16% 21.54% 18.43% 20.66% 16.94% 9.97%  
Information Ratio 0.35 0.46 0.43 0.41 0.41 0.32 0.35 0.29 0.87 1.46  
T-Stat 1.04 1.37 1.29 1.23 1.22 0.95 1.04 0.87 2.46 4.39  
Probability Excess Ret < 0 35.28% 31.42% 32.35% 32.99% 33.13% 36.37% 35.26% 37.38% 19.69% 7.74%  
Each test's results were computed as follows:
   1. First the test that began in January had the monthly returns linked together to get an annual total return for 1997.  Linking is the 
       geometric average calculated by adding 1 to each monthly return, multiplying the numbers together, and subracting 1.
   2. Then 1998 thru 2002 had the total returns calculated in a similar way. 
   3. Then the February portfolio's annual returns were calculated the same way, then March, and so on resulting in a table 
       with 6 by 12 annual returns
   4. Then 1997's average annual return was calculated by taking the arithmetic average of all 12 portfolio's 1997 results
   5. The rest of the year's average annual returns were then calculated.
The Average Linked Annual Return was then computed by linking these average annual returns together.  Like with the monthly 
returns, above, we added 1 to each annual return, and multiplied the numbers together.  Then, that product was taken to the 
12 / 72nd power before subtracting by one.  The numbers from Greenblatt's books were already geometric averages, so the 
average linked annual return could be calculated the same way as in the rest of the columns.
The Average Annual Return is the arithmetic average of each test's (eg Jan96, Jan97, Feb96, etc) montly total return.
The longitudinal standard deviation is calculated by taking a standard, non-biased standard deviation of the average annual returns
The information ratio is the average excess return divided by the standard deviation of the excess returns
The t-stat is the average annual return divided by the standard deviation divided by the square root of the number of years in the study.
The probability is calculated by first finding the range of returns in the bell curve (eg, 95% of the returns will be within 2 standard 
deviations) and then calculating the ratio of this range and dividing by 2.
Total Return        left 95% -1.49% -2.13% -4.92% -2.70% -0.76% -8.57% -5.68% -6.94% -19.74% -11.29% -28.29%
                        right 95% 35.41% 40.40% 43.32% 39.32% 36.96% 43.63% 39.89% 40.34% 70.68% 61.95% 49.75%
Excess Return     left 95% -29.85% -28.43% -31.05% -29.40% -28.95% -36.27% -30.49% -35.35% -19.14% -5.35% 0.00%
                         right 95% 42.31% 45.24% 47.98% 44.56% 43.69% 49.87% 43.24% 47.29% 48.61% 34.54% 0.00%
Notes:             tstat(row) = ave(row) / (std(row) / ((n - 1) ^ 0.5))
68-95-97