Model Portfolio Monthly Update: November 30, 2010
This report updates our model portfolio strategies as of the close, November 30, 2010.
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New Actions Required:
Rebalance the stocks in the model portfolios to equal weight positions.
Rebalance long and short portfolios to equal dollar amounts.
See pages 5-6 for details.
Of Note:
Our Core and Opportunistic Long Models finished November 2010 up 3.86% on a simple return basis, versus a decline of -0.14 for the S&P 500, generating 400 basis points of alpha. Compound returns were slightly worse for both the models and benchmark. These returns exclude any kind of costs. Even taking into account transaction costs and worst case slippage from poor November 1 execution of trades, we estimate alpha generation above 200 basis points for the month. Alpha was generated by generally outstanding stock picking, which presaged at least 16 major sell side upgrades that we noticed.
This month there are 22 stocks in our Core and Opportunistic Long model portfolios. As we mentioned on Twitter and StockTwits (@steve_ascendere), three names we think have the biggest potential upside in December include FCX, UAL and WSM (not COH, not TIF, not GES, not NFLX, not CMG, etc.). We will be rebalancing a real portfolio we manage tomorrow based in part on the research in this report. For a model portfolio based on real trade data that can be mirrored in Covestor, Ltd. accounts, see our Ascendere Systematic Long Only model.
Table of Contents:
Page 2: How to Use this Newsletter
Page 3: Return Data
Page 4: Overview, and Target and Stop Loss Returns for Model Portfolios
Pages 5-6: Rebalancing Actions
Pages 7-8: Target and Stop Loss Prices for Stocks
Pages 9-12: Frequently Asked Questions
Page 13: Potential Transaction and Slippage Costs Relative to the Model
Pages 14-16: Methodology, Disclosures, Disclaimers
Page 17: About Ascendere Associates LLC
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