Date post: | 20-Jun-2015 |
Category: |
Economy & Finance |
Upload: | billerickson |
View: | 2,115 times |
Download: | 1 times |
The Real American Gladiators
Miguel Abugattas • Kathryn DeStena • Bill Erickson • Catherine Garza
Kathryn Keith • Jeffrey Nelson • Jordan Scribner • Regan Spence
Strategy
• FCF/EV
• ROIC
• Reversal Factor
• Market Cap
• Long-Short
Research
Joel Greenblatt
• FCF/EV
• ROIC
Research
0%
0.75%
1.50%
2.25%
3.00%
1 2 3 4 5 6 7 8 9 10
Average Monthly Reversal Returns by Decile
ResearchJa
n-83
Jan-
84Ja
n-85
Jan-
86Ja
n-87
Jan-
88Ja
n-89
Jan-
90Ja
n-91
Jan-
92Ja
n-93
Jan-
94Ja
n-95
Jan-
96Ja
n-97
Jan-
98Ja
n-99
Jan-
00Ja
n-01
Jan-
02Ja
n-03
Jan-
04Ja
n-05
Jan-
06Ja
n-07
Reversal Return (no transaction costs)S&P 500 Return
$1
$10
$100
$1000$706
$10
ResearchJa
n-83
Jan-
84Ja
n-85
Jan-
86Ja
n-87
Jan-
88Ja
n-89
Jan-
90Ja
n-91
Jan-
92Ja
n-93
Jan-
94Ja
n-95
Jan-
96Ja
n-97
Jan-
98Ja
n-99
Jan-
00Ja
n-01
Jan-
02Ja
n-03
Jan-
04Ja
n-05
Jan-
06Ja
n-07
Reversal Return (with transaction costs)S&P 500 Return
$1
$10
$100
$1000
$144
$10
Implementation
• Composite Score
• Rank and Eliminate
• Trade - Market Cap, Long-Short
• Reversal
Performance
27,000,000
29,750,000
32,500,000
35,250,000
38,000,000
1/24/0
8
2/1/08
2/12/0
8
2/22/0
8
3/4/08
3/13/0
8
3/25/0
8
4/3/08
4/17/0
8
Gladiator ReturnsS&P Returns
Performance
-4.00%
3.25%
10.50%
17.75%
25.00%
1/24/0
8
2/1/08
2/12/0
8
2/22/0
8
3/4/08
3/13/0
8
3/25/0
8
4/3/08
4/17/0
8
Gladiator Daily ReturnsS&P 500 Daily Returns
Performance
0
1,625,000
3,250,000
4,875,000
6,500,000
S&P 500 Gladiator
Return on Investment
$761,596
$6,382,028
Performance
ROI 21.1%
Annualized ROI 115.1%
Our Fees $1,460,400
$182,550 per person
What We Learned
• Views on Industry
• Validity of Efficient Markets Hypothesis