Ideally any backtest would be able to look at the companies that existed at the time, and not only the ones that survivor today

As for the different results, I have tweaked the parameters since to make the screen a more realistic representation of the results. Trying to eliminate chinese companies and playing around with slippage and volume for an accurate simulation.

ncav-nnwc-backtest-refined:
2003: Approx. 150 to 500 = +233%

net-net-working-capital-nnwc-stock-screen.php:
2003: Approx. 130 to 290 = +123%

One small suggestion. You begin by pointing out why year-by-year tabular results are better than linear graphs, but then you only provide linear graphs. So I am having to make up my own tables, based on estimating where your lines end up. Some tables would be appreciated, but I suppose it all averages out. Thank you in any case for what you have done!

1. I just ranked them according to certain ratios and the % discount it was trading at, can’t remember which. All written down in my secret notebook somewhere

2. I did that with some other screens but it doesn’t reflect the strategy well because all these backtests are not designed to analyze 1 year at a time but rather over a timeframe.

3. I could try but can’t promise anything. I’m working on other backtests that are taking up a lot of time. I’ve been working on one for about 3 weeks but I’m still not getting what I think I could.

4. thank you

5. Try these links which will describe everything you need to know.
http://sec.gov/edgar/quickedgar.htm
http://sec.gov/info/edgar/forms/edgform.pdf

Big fan of your posts. I love how you’re diving into backtests of Graham’s net net strategy. I have a couple questions and a couple comments for you:

Q. You mention (somewhere) in your posts that you limit the portfolio to 10 of the “best” net nets. How do you determine what is best? Do you mean the cheapest? Do you look at fundamentals such as current ratio, etc? I have no clue what you’re doing here.

C. I love your backtests. When you’re posting them could you include a chart of yearly returns (eg. 2006-2007: 20%) because that would go a long way to understanding the behaviour of the portfolio in individual years.

Q. Could you do a couple backtests testing things like the smallest net nets, net nets where insiders are also buying stock, net nets where the company is repurchasing stock, etc?

C. Like I said, I love your posts. I think you could help people understand the significance of the tests if you spell out exactly what you’re doing.

C. I would absolutely love some guidance in the areas of stock symbols and SEC documents. Boring, yes, but important. I don’t know much at all about the suffixes on NASDAQ symbols, what all the SEC forms are for or how to properly read them. Little help?

Keep posting and I’ll keep reading!

Evan

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

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

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

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

@ 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

How did you come up with a 30k volume cutoff? Why not 10k or 50k? I’m asking because I’m also working on similar NCAV backtests.

I’m trying to find out if there are any patterns associated with stock that are trading below 2/3 NCAV that never recover. I’m having a hard time identifying which stocks stopped trading and/or went to zero. It’s also tough to identify ones that also paid out special dividends as part of a liquidation. Do your backtest returns numbers include dividends?
.-= George´s last blog ..Festival of Stocks President’s Day 2010 Edition =-.