Backtesting Ben Graham

[redcorolla95]

Ben Graham says a doctor monitoring his own investments can do 15% pa after commissions & taxes. Some awesome people did a write-up which I'm grateful to.

Maybe this means we're putting a bit too much effort & drama into research if we can't do a whole lot better than the doctor.

Criteria
low P/E (<10),
shareholders equity / assets >=0.5
Backtested from 1965–2010

“trading rules”
held for 2 years,
appreciate >50%.

Results
This worked very well for small & mid-caps, with an alpha of 4.9+%.
Doesn't work with large-caps.
Max drawdowns of about 55-56%, which is about the same as the S&P 500 (57%) from 2008 to 2009.


http://blog.empiricalfinancellc.com/2011...en-graham/

[corydorus]

I do surface research based on standard information available. On average so far is 15% annualized.
This is mainly with small and medium caps mainly. Would have been significantly better have i been more careful on a few stocks.

This year i am focusing on large caps as well as i aged .... We shall see.

Cory

[guru]

If 15% is achieved through a significantly long periond of time, say 10 yrs ( you will have gone through 2, maybe 3 bull and bear cycles), that is a very good numbers which I think a lot of s-called pros will find hard to emulate too.

Cheers

I do surface research based on standard information available. On average so far is 15% annualized.
This is mainly with small and medium caps mainly. Would have been significantly better have i been more careful on a few stocks.

This year i am focusing on large caps as well as i aged .... We shall see.

Cory