Aggressive is an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. Each screen produces an exceptional trading plan by itself, but when the two are combined, the volatility of returns is reduced without much degradation of total returns. This is because their backtested, detrended equity curves have relatively low correlation.

Information is as of the close on April 11, 2008. Based on beginning with a $100,000 portfolio at inception.

Equity: $96,768.24
Gain, Past 4 Weeks: 5.87%
Gain, Year to Date: -4.01%
Gain, Since Inception at 11/26/20082007: -3.23%

In the past, I had been using 10 positions from each system; 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. To read more, visit this post at The Rempel Report.

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