|
In November
1992, PIMS, Inc. security analysts developed the Composite VALUE RANK Portfolio
Management (CVRPM). This method which uses the results of IE'S Composite VALUE
RANK which is based on the VALUE default weight factors and constants loaded as part of
the initial installation of IE. A Step-by-Step application procedure was written
and tested in late 1992 and updated in early 1994. The question
remaining at that time was:
"How well will the procedure perform over
the next 10 to 25 years?"
At
the end of each day's IE database update file processing, the 82 category
normalization and rank calculations are automatically executed by the program
for all 3000+ stocks. Each User of IE has the capability to create his own
historical Composite RANK library by periodically printing out and filing the Top 6
Stocks per Category for all five RANK methods.
The
results of the CVRPM backtesting study have been extended thru December 31, 2008
for a total of 54 time periods. Annualized
returns for the CVRPM portfolio over this 17.8 year period is equal to +15.0%
compared to the S&P 500 Index return of +7.8%.
Click here to view the graphical
results.
Note: Limitations and qualifications of this
study include the following items:
- This study is defined as a hypothetical
study.
- The performance was compiled after the end
of time periods November 1992, May 27, 1999, and at the end of each
calendar year quarter between Sept. 1999 and Dec. 31, 2003.
- The performance does not represent actual
decisions made by PIMS, Inc. during the time periods of the study.
- Application of the Step-by-Step CVRPM
Procedure by other Users of IE will yield slightly varying annualized
results over the 17.8 year period used for this study due to the fact that
the procedure provides some flexibility in stock selection within each of
the 20 most undervalued categories.
- The CVRPM procedure and resulting
performance results do not include the deduction of management fees for
both the portfolio and the S&P 500 index.
- Both the S&P 500 index and the CVRPM
portfolios reflect reinvestment of dividends.
- All portfolios are limited to the
securities within Investor's Edge.
- PIMS, Inc. is not aware of any client
of PIMS, Inc. that has either followed or may have followed the CVRPM
procedure to have had results that vary materially from that of PIMS 92-20
Rev 24, to be published later.
|
***** past performance is no
guarantee of future results ***** |
