Collective2

Description:
EPS Signal relies on the combination of a few powerful metrics to develop a portfolio designed to exploit the "EPS drift" market anomaly and over-perform the S&P. In particular, the fund looks for companies with positive earnings revisions, earnings and profit growth, earnings surprises. The fund is long only and trades stock of companies with a market cap in excess of $50M.


Approach & Discipline:
The portfolio is updated weekly on a 4-week rolling basis. Each week 4 stocks are added to the portfolio based on the screening criteria and the 4 stocks that were added to the fund 4 weeks earlier are sold unless they still meet the portfolio criteria. The target # of stocks is 16, with sometimes less stocks if in a given week less than 4 stocks meeting the selection requirements.

Backtesting:

I do not have access to the required data to perform a backtest with the rolling weekly approach of EPS Signal. However, the fund uses the same fundamental criteria as its twin fund "Quantitative Signal", which has delivered strong backtesting results. As noted in the description of Quantitative Signal: "The approach between January 2000 and December 2011, the fund would have produced compounded returns in excess of 25% p.a. (S&P over same period: -.5% p.a.)."


Disclaimer:
Past results are not indicative of future results and neither Vendor nor C2 is responsible for unfavorable performance deviations. There is a substantial risk of loss in trading. Do not trade with money you cannot afford to lose.