Aggressive is an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. In the past, I had been using 10 positions from each system; in keeping with the title of this post, however, I will now be using only the 5 highest-ranked positions from each system. This should make the system generate slightly higher returns, albeit at a higher volatility, and it should also reduce the transaction expenses going forward. The new model allocation is a 10% holding of each of the following stocks [read more …]