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Back-Testing de la Stratégie RRRnew

Le Backtesting de la stratégie RRRnew sur la période du  28/08/2009 au 31/08/2012  révèle une surperformance de 12,5% soit 25,9% pour RRRnew et 13,4 pour le S&P 500. Durant la période étudiée le nombre d'action varie de 6 à 33 avec une moyenne de 23. le gain total est de 99.8% contre 45,7% pour l'indice soit 10.000$ sont devenu 14.568$ soit un doublement sur 3 ans.

Sélection utilisée:

  • EBITDA/EV > 5%
  • ROE moyen > 15%
  • ROA moyen > 7%
  • Croissance  moyenne du BNA > Croissance  du BNA  du S&P500
  • Croissance  moyenne des Vtes > Croissance  des Vtes  du S&P500
  • Croissance  moyenne du BNA > Croissance  moyenne des Vtes
  • Croissance du BNA estimé > BNA
  • Cours > au cours d'il y a un an.
27 valeurs répondent à ces critères, voir table ci-dessous, dans 16 secteurs différents; les moyennes sont calculée sur les 5 dernières années.



Company Ticker EBITDA/EV 12 Mo ROE 5 Yr Avg ROA 5 Yr Avg 5 Yr Hist EPS Gr 5 yr Hist Sales Gr % Ch Price 52 Weeks 5yEps Gr. /5ySal Gr. Est. EPS / EPS Growth.
BEVERAGES
   Ambev-Pr Adr ABV 6.64% 28.81% 15.72% 28.40% 9.30% 16.02% 205.50% 5.50%
   Monster Beverag MNST 5.14% 35.70% 25.77% 19.52% 17.29% 32.73% 12.90% 1.40%
FOOD
   Medifast Inc MED 9.54% 22.46% 16.70% 50.71% 40.25% 77.84% 26.00% 9.40%
NONFOOD RETAIL-WHOLESALE
   Caseys Gen Strs CASY 11.54% 17.25% 7.56% 17.17% 8.40% 22.82% 104.50% 2.50%
DRUGS
   Gilead Sciences GILD 8.20% 48.88% 27.75% 20.95% 18.86% 57.08% 11.10% 2.30%
MEDICAL CARE
   Amerigroup Corp AGP 8.80% 16.69% 7.93% 15.26% 13.09% 114.89% 16.60% 5.70%
MEDICAL PRODUCTS
   Cyberonics Inc CYBX 5.03% 46.28% 11.34% 40.23% 15.34% 89.53% 162.30% 1.40%
   Varian Medical VAR 10.80% 29.23% 15.70% 15.26% 8.65% 17.12% 76.50% 0.30%
CHEMICALS
   Hawkins Inc HWKN 11.28% 16.92% 13.17% 19.30% 12.65% 24.35% 52.50% 8.30%
   Newmarket Corp NEU 10.16% 32.81% 14.20% 41.11% 10.76% 61.75% 282.00% 5.80%
METALS-NON FERROUS
   Randgold Rsrcs GOLD 5.01% 25.73% 21.24% 50.82% 17.71% 1.71% 187.00% 6.90%
COMPUTER-OFFICE EQUIPMENT
   Apple Inc AAPL 6.07% 34.52% 21.57% 65.20% 45.52% 74.43% 43.20% 1.00%
COMPUTER SOFTWARE-SERVICES
   Ebix Inc EBIX 8.65% 29.35% 18.72% 38.53% 37.06% 50.74% 4.00% 4.30%
   Google Inc-Cl A GOOG 7.50% 20.05% 17.29% 23.82% 21.51% 32.19% 10.70% 6.50%
   Intuit Inc INTU 8.36% 27.17% 13.38% 16.48% 8.61% 27.39% 91.40% 0.70%
   Msci Inc-A MSCI 8.42% 25.57% 8.11% 33.94% 30.05% 12.55% 12.90% 2.50%
   Open Text Corp OTEX 10.05% 19.89% 9.51% 23.49% 13.57% 0.25% 73.10% 9.70%
   Oracle Corp ORCL 11.84% 29.85% 15.63% 18.65% 16.14% 20.79% 15.50% 0.10%
MISC TECHNOLOGY
   Ipg Photonics IPGP 6.90% 17.01% 12.65% 37.76% 24.70% 17.53% 52.90% 0.50%
   Sensata Technol ST 5.24% 47.28% 10.59% 24.70% 21.62% 4.81% 14.30% 33.30%
TELECOMMUNICATIONS EQUIPMENT
   Neustar Inc -A NSR 8.97% 22.83% 17.10% 11.80% 9.71% 68.01% 21.50% 2.00%
TRANSPORTATION-AIR
   Allegiant Travl ALGT 12.65% 19.63% 10.47% 19.82% 19.42% 44.60% 2.10% 0.50%
   Copa Hldgs Sa-A CPA 10.77% 25.89% 9.69% 19.35% 14.09% 20.50% 37.40% 1.00%
TRANSPORTATION
   Wabtech WAB 7.66% 17.54% 8.80% 11.83% 8.12% 45.07% 45.70% 0.20%
BUSINESS SERVICE
   Corvel Corp CRVL 11.84% 25.54% 17.27% 13.62% 8.62% 3.81% 57.90% 11.80%
   Factset Resh FDS 6.89% 29.89% 24.08% 13.25% 9.43% 14.19% 40.50% 18.60%
AGRIBUSINESS
   Soc Quimica Min SQM 13.27% 25.97% 13.69% 20.76% 12.88% 12.78% 61.20% 1.80%
Average 12.37% 27.36% 7.91% 25.63% 17.53% 34.77% 1.64% 1.05%

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