Comments on: NCAV NNWC Backtest Refined

By: Insider Buys vs Share Buybacks | Old School Value

Insider Buys vs Share Buybacks | Old School Value — Tue, 20 Apr 2010 08:30:30 +0000

[...] NCAV and NNWC Screen Strategy [...]

By: vernadel

vernadel — Sat, 27 Mar 2010 14:32:46 +0000

Hello,

i’m french and excuse me for my approximative english !
so between january 2001 and january 2004 result of ncav strategy was arround + 500% ?
between 2004 and 2007 = arround zero %
and to finish since 2007 = arround 75%
are you agree with me?

if you agree with me ,where can i found stocks with criterions used to do ncav list ?.

Where can i found results and exacts criterions for very long time period ?
Thanks and excuse me for my poor english !

Sébastien From french

By: Negative Enterprise Value Stock Screen Strategy

Negative Enterprise Value Stock Screen Strategy — Fri, 26 Mar 2010 14:01:52 +0000

[...] NCAV and NNWC Screen Strategy [...]

By: CROIC ROIC Screen Strategy Backtest | Old School Value

CROIC ROIC Screen Strategy Backtest | Old School Value — Thu, 04 Mar 2010 07:11:38 +0000

[...] NCAV and NNWC Screen Strategy [...]

By: KenKP

KenKP — Fri, 19 Feb 2010 17:14:07 +0000

Sorry, format issue:

Buy Criteria:
Price/NCAVPS -10%
Average Net Income for past 5 years / book value > 10%
P/B of S&P sector for this security 3

Rebalancing period: 6 months

By: KenKP

KenKP — Fri, 19 Feb 2010 17:12:15 +0000

Hi Jae Jun,

I have previously done a number of backtests on NCAV strategy that takes into consideration the overall market P/B level, with the following criteria:

Buy criteria:
Price/NCAVPS -10%
Average Net Income for past 5 years / book value > 10%
P/B of S&P sector for this security < 3
Maximum individal security investment: Median P/B value for the security in the past 10 years, or P/B of S&P Sector > 3

I have tried this combination with good success that provides ample down side protection, maybe this idea can help you in some way.

Let me know if you are interested in discussing further: ken.kp.so@live.com

By: Mark

Mark — Fri, 19 Feb 2010 07:21:17 +0000

All three lines are pretty close as of 7/09. The NNWC strategy seems to work best when the entire market is rising (so beat down stocks selling as if they are going to go broke rise the most). The extreme superior performance of small caps and value stocks (like RZV which went from like 10 to 35 between March and Sept) in 2009 accounts for a big part of the superior performance of NNWC stocks.

I don’t know how much to read into this.

By: Net current asset value and net net working capital back-test refined « Greenbackd

Fri, 19 Feb 2010 05:02:03 +0000

[...] value (NCAV) against “net net working capital” (NNWC) by refining the back-test (see NCAV NNWC Backtest Refined). His new back-test increases the rebalancing period to 6 months from 4 weeks, excludes companies [...]

By: tedk81

tedk81 — Fri, 19 Feb 2010 02:30:47 +0000

Thanks Jae, look forward to receiving it. I’ll send you back something I’ve been working on lately that I think you might like.

By: Jae Jun

Jae Jun — Fri, 19 Feb 2010 00:58:17 +0000

@ ted8k1,
I’ll try to send you an email of all the data.

@ peekay,
Thanks

@ zehua,
Good idea. I’ll try to figure out how I can do a screen on it.

@ George,
From the NCAV article I linked to, it has the following statement.

“with the AAII Shadow Stock Portolio: The average daily number of shares traded should be four times the amount needed for the position.

Otherwise, it may be too difficult to get in and out of the position quickly. For example, if I had $5,000 to invest in China Dasheng Biotechnology (CDBT), I would be able to buy 6,330 shares at its January 22, 2010, closing price of $0.79. Therefore, I would like to see CDBT trade at least 25,000 shares a day (spefically 25,320, or 6,330 × 4).”

Also from my experience trading low price and volume, I found that having at least 30k was a good amount of volume to move in and out quickly.

@ Greenbackd,
Thanks