S&P has a published screen that follows the Buffett methodology based on Robert Hagstrom’s book “The Warren Buffett Way: Investment Strategies of the World’s Greatest Investor.” The criteria are as follows:
1. Owner earnings (cash flow – capital expenditures) > $50M (changed in February 2006 from $20M).
2. Net margins > 15% for the trailing 12 months.
3. ROE > 15% for previous Q and every year for the last three years.
4. Retained earnings that have grown less than the market cap, on an absolute basis, in the last 5 years.
Over the same time period, a monthly rebalance of this screen would have done ~11.4% vs. ~14% for the 13F method we mentioned in our previous article “How to REALLY trade like Warren Buffett“ . The S&P screen would have been more active, as well as more volatile. So why not just buy what Buffett is actually buying?
Let me know if you have any funds of particular interest that you would like me to take a look at. Blue Ridge, Maverick, Private, and Appaloosa are all on our (lengthy) list. . .
I have been analyzing Hedge Fund Reports for over three years. The ones that really stand out are:Appaloosa, Thames, Relational,Gotham, Greenlight, & Witmer. Libra and Stephen Feinberg have promise but I haven’t had the time to run back enough years.
Are your posted returns for Greenlight based on equal dollar amounts of the top ten postions as you have done on the Buffet positions?
Hi, is there any way i can find hedge fund reports of gotham? Would be great to get an insight into how Greenblatt analyses his stocks
Libra’s a great one , though his SD is a big high
Greenlight is equal $ amounts, rebalanced quarterly.
I will add the funds you all have mentioned to our list. . .
I wonder what would happen if we took the really high return funds with a bid SD but threw on a 10 month sma as suggested in your paper?
Mebane- using your 10 month sma method, do you trade at the end of the month, or trade during the month when the cross over first appears?
Only trades once per month.
Could you add Chesapeake Partners to your list? It’s a very secret fund run by a woman that is incredibly sucessful but even the fund owners have a hard time making sense of their statements.
Secretive? No one beat Moore Capital Management for secretive!
Can I assume that your end-year returns include both capital gains and the percentage increase in currently held stocks over the 1 year period?