wie im ersten Beitrag des Performance-Indikators ARMD angekündigt, möchte die Anwendung des Indikators anhand zahlreicher Strategien darstellen. Die Basis Strategien sind nicht aus meiner Entwicklung, sondern sind allesamt von der Seite AAII (American Association of Individual Investors) www.aaii.com. Unter stock screens-> performance history ist es möglich einen Performance Report aller Ihrer Strategien mit monatlichen Performance-Daten zu laden. Es handelt sich hier um fundamentale Strategien. Die Aktien werden auf Basis von fundamentalen Kennzahlen selektiert. Auf Basis dieser Daten habe ich die Gesamtperformance und den maximalen Drawdown ermittelt. Der untersuche Zeitraum umfasst Jan 2005 – Sep 1015, also ein wenig mehr als 10 Jahre.
Im oberen Teil der Tabelle sind amerikanische Indexe zum Vergleich aufgelistet. Der Mittelwert des ARMD der Indexe beträgt 140 Monate. Um es in anderen Worten auszudrücken: annähernd 11,7 Jahre!
Der Mittelwert des ARMD der Strategien sogar 151 Monate/ 12,8 Jahre
Einige der Strategien aber zeigen schon sehr gute Werte. Der Beste kommt nur auf nur 29 Monate. D.h. diese Strategie zeigt einen um dem Faktor 4,6 besseres Ertrag/Risiko Verhältnis als der Durchschnitt der Indexe.
Im ersten Beitrag hatte ich angekündigt, dass es Strategien gibt, die auf einen ARMD von ca. 10 kommen. Diese werde ich im nächsten Beitrag vorstellen.
| Monthly Performance |
Drawdown | Performance needed to recover DD |
ARMD Timetorecover [Month] |
|
| S&P 500 price chg | 0,35% | 53% | 111% | 211 |
| S&P MidCap 400 price chg | 0,56% | 51% | 104% | 128 |
| S&P SmallCap 600 price chg | 0,53% | 53% | 114% | 145 |
| NASDAQ 100 price chg | 0,73% | 50% | 100% | 95 |
| Dow Jones 30 price chg | 0,32% | 49% | 97% | 212 |
| T-Bills price chg | 0,11% | 0% | 0% | 0 |
| S&P 500 (TR) | 0,53% | 50% | 102% | 132 |
| S&P 500 Growth (TR) | 0,61% | 44% | 80% | 97 |
| S&P 500 Value (TR) | 0,43% | 56% | 129% | 194 |
| S&P MidCap 400 (TR) | 0,67% | 49% | 96% | 101 |
| S&P MidCap 400 Growth (TR) | 0,72% | 48% | 92% | 91 |
| S&P MidCap 400 Value (TR) | 0,63% | 51% | 105% | 114 |
| S&P SmallCap 600 (TR) | 0,62% | 52% | 107% | 117 |
| S&P SmallCap 600 Growth (TR) | 0,70% | 51% | 104% | 102 |
| S&P SmallCap 600 Value (TR) | 0,54% | 54% | 116% | 144 |
| All Exchange-Listed Stocks price chg | 0,41% | 60% | 148% | 220 |
| ADR Screen price chg | 0,46% | 69% | 219% | 255 |
| All ADRs price chg | 0,38% | 62% | 162% | 253 |
| Buffett: Hagstrom price chg | 0,88% | 42% | 73% | 63 |
| Buffettology: EPS Growth price chg | 0,75% | 49% | 96% | 90 |
| Buffettology: Sustainable Growth price chg | 0,73% | 44% | 77% | 79 |
| O’Neil’s CAN SLIM price chg | 1,21% | 33% | 50% | 34 |
| O’Neil’s CAN SLIM Revised 3rd Edition price chg | 0,90% | 38% | 63% | 54 |
| O’Neil’s CAN SLIM No Float price chg | 0,59% | 64% | 179% | 174 |
| Cash Rich Firms price chg | 0,21% | 46% | 84% | 293 |
| Dual Cash Flow price chg | 0,29% | 63% | 172% | 350 |
| Dividend (High Relative Yield) price chg | 0,35% | 44% | 79% | 166 |
| Dogs of the Dow price chg | 0,13% | 69% | 222% | 882 |
| Dogs of the Dow: Low Priced 5 price chg | -0,03% | 83% | 486% | |
| Dreman price chg | 0,42% | 59% | 145% | 214 |
| Dreman With Est Revisions price chg | 1,18% | 42% | 73% | 47 |
| Driehaus price chg | 1,33% | 55% | 122% | 60 |
| Est Rev: Lowest 30 Down price chg | -0,34% | 77% | 335% | |
| Est Rev: Down 5% price chg | -0,15% | 70% | 239% | |
| Est Rev: Top 30 Up price chg | 1,66% | 42% | 71% | 33 |
| Est Rev: Up 5% price chg | 1,60% | 37% | 59% | 29 |
| Fisher (Philip) price chg | -0,14% | 60% | 149% | |
| Foolish Small Cap 8 price chg | 0,38% | 68% | 210% | 301 |
| Foolish Small Cap 8 Revised price chg | 0,62% | 64% | 181% | 167 |
| Price-to-Free-Cash-Flow price chg | 1,17% | 69% | 224% | 101 |
| Fundamental Rule of Thumb price chg | 0,28% | 57% | 132% | 304 |
| Graham–Defensive Investor (Non-Utility) price chg | 1,00% | 52% | 109% | 74 |
| Graham–Defensive Investor (Utility) price chg | 0,41% | 32% | 48% | 95 |
| Graham–Enterprising Investor price chg | 0,88% | 56% | 126% | 93 |
| Graham–Enterprising Investor Revised price chg | 1,68% | 60% | 151% | 55 |
| Insider Net Purchases price chg | -0,62% | 70% | 234% | |
| Inve$tWare Quality Growth price chg | 0,70% | 47% | 87% | 90 |
| Kirkpatrick Bargain price chg | 0,80% | 43% | 76% | 71 |
| Kirkpatrick Growth price chg | 0,95% | 44% | 79% | 61 |
| Kirkpatrick Value price chg | 0,63% | 53% | 113% | 121 |
| Lakonishok price chg | 1,00% | 32% | 48% | 40 |
| Lynch price chg | 0,31% | 48% | 91% | 211 |
| Magic Formula price chg | 0,16% | 55% | 124% | 499 |
| MAGNET Complex price chg | -0,69% | 77% | 343% | |
| MAGNET Simple price chg | 0,56% | 81% | 429% | 296 |
| Muhlenkamp price chg | -0,97% | 84% | 531% | |
| Murphy Technology price chg | 0,04% | 64% | 175% | 2853 |
| Neff price chg | 0,62% | 61% | 156% | 151 |
| O’Shaughnessy: All Cap price chg | 0,32% | 56% | 125% | 257 |
| O’Shaughnessy: Growth Market Leaders price chg | 0,37% | 53% | 111% | 200 |
| O’Shaughnessy: Growth price chg | 0,58% | 57% | 134% | 147 |
| O’Shaughnessy: Small Cap Growth & Value price chg | 0,90% | 51% | 102% | 78 |
| O’Shaughnessy: Tiny Titans price chg | 0,56% | 67% | 208% | 201 |
| O’Shaughnessy: Value price chg | -0,04% | 70% | 228% | |
| Oberweis Octagon price chg | 0,39% | 71% | 250% | 324 |
| P/E Relative price chg | 0,90% | 36% | 56% | 50 |
| Value on the Move–PEG With Est Growth price chg | 0,99% | 50% | 101% | 71 |
| Value on the Move–PEG With Hist Growth price chg | 0,72% | 50% | 101% | 97 |
| Piotroski: High F-Score (8) price chg | 1,38% | 59% | 144% | 65 |
| Piotroski 9 price chg | 2,22% | 56% | 125% | 37 |
| Price-to-Sales price chg | 0,56% | 55% | 123% | 143 |
| Return on Equity price chg | 0,58% | 47% | 89% | 111 |
| Rule #1 Investing price chg | 0,52% | 61% | 156% | 180 |
| Schloss price chg | 0,15% | 47% | 90% | 415 |
| Shadow Stock Screen price chg | 1,47% | 53% | 111% | 51 |
| T. Rowe Price price chg | 0,56% | 69% | 222% | 211 |
| Templeton price chg | 0,65% | 44% | 78% | 90 |
| Wanger (Revised) price chg | 0,62% | 51% | 105% | 115 |
| Weiss Blue Chip Div Yield price chg | 0,66% | 43% | 77% | 87 |
| Stock Market Winners price chg | 1,13% | 57% | 134% | 76 |
| Mittelwert/ Berechnet |
||||
| Mittelwert aller Strategien | 0,59% | 54,27% | 141,18% | 191/ 150 |
