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Value Investing in Tech

Equity · Stocks · Started Jul 2018

hypothetical · Annual Return (Compounded)
7.3%
Max Drawdown
47.9%
Trades
19
Win Trades
52.6%
Profit Factor
3
Win Months
60.0%

About this strategy

The classic value investor buys undervalued stocks and waits until they appreciate in value. It usually takes between 3 and 5 years for average trade. I apply value investing to growths stocks. This is what allows me to make much more frequent trades and to possibly increase my returns. Growths stocks are much more volatile. This is what gives me an opportunity to make 2 to 6 trades a year, harvesting a target of 10 to 15% profits for each trade and an annual return of 20 to 50%.

Of course, these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.

It took me 10 years of investing/trading to develop and test this strategy. My background in technology and lifetime hobby of being an investor allows me to find undervalued tech companies with strong growth prospects and wide moats mostly. Most analysts can't understand the business behind such companies, i.e. what makes them often undervalued and fluctuate under fundamental values. But the prices almost always quickly return back as businesses report strong growth or bring a portion of good news.

The strategy works best in growing markets. If the economy stagnates or market falls, trades occur much less frequently, and returns diminish. I can't guaranty the strategy will work each and every year, but I must say that I invest most of my own wealth in the same stocks and my family's future depends on my investing abilities, risks, and some luck.

To learn more about my investing approach, check out my article on Medium: https://medium.com/@alexeylevin_73209/no-value-investing-isnt-dead-f165f5414792

Non-hedged Equity Sector: Technology

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2018-1.07.0-0.7-11.80.3-5.7-12.3
201916.13.14.57.2-4.37.93.61.5-8.90.16.7-1.239.8
20201.89.5-13.98.823.55.26.8-1.4-12.32.312.53.749.3
2021-1.40.6-7.67.9-4.610.00.0-15.7-11.8
2022-12.0-5.94.3-11.5-1.5-6.71.40.2-4.0-2.90.80.0-33.0
20236.33.33.61.80.84.00.6-1.0-2.50.18.25.835.1
20245.95.91.7-12.72.64.3-1.32.94.00.52.77.024.4
20253.6-4.2-7.8-3.47.04.9-1.60.83.20.0-2.2-5.7
2026-2.9-6.3-2.55.9-2.5-5.11.99.69.1-1.74.1

Statistics

Overview

Strategy began7/30/2018
Suggested Minimum Capital$100,000
Age100 months
What it tradesStocks
# Trades19
# Profitable10
% Profitable52.6%
Avg trade duration1442.7 days
Max peak-to-valley drawdown47.9%
drawdown periodJuly 07, 2021 - Nov 07, 2022
Annual Return (Compounded)7.3%
Avg win$10,151
Avg loss$4,842

Ratios

W:L ratio3
Sharpe Ratio0.30
Sortino Ratio0.41
Calmar Ratio0.53

CORRELATION STATISTICS

Correlation to SP5000.51
Return Percent SP500 (cumu) during strategy life174.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-100.4%

Return Statistics

Ann Return (w trading costs)7.3%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)7.9%

Slump

Current Slump as Pcnt Equity7.4%
Current Slump, time of slump as pcnt of strategy life0.6%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss37.5%
Chance of 20% account loss10.5%
Chance of 30% account loss0.5%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$4,842
Avg Win$10,151
# Winners10
Sum Trade PL (losers)$43,574
Sum Trade PL (winners)$101,506
Num Months Winners57
# Losers9
% Winners52.6%

Dividends

Dividends Received in Model Acct29036

Age

Num Months filled monthly returns table96

Frequency

Avg Position Time (mins)2077546.62
Avg Position Time (hrs)34625.78
Avg Trade Length1442.70
Last Trade Ago1908

Leverage

Daily leverage (average)0.78
Daily leverage (max)0.93

Regression

Alpha0
Beta0.58
Treynor Index0.04

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.06
MAE:Equity, average, losing trades0.03
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades0.71
MAE:PL (avg, all trades)-0.40
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats66.12
MAE:PL - Winning Trades - this strat Percentile of All Strats27.75
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.20
Avg(MAE) / Avg(PL) - Losing trades-0.78
Hold-and-Hope Ratio1.20

RATIO STATISTICS

Mean0.24
SD0.34
Sharpe ratio (Glass type estimate)0.72
Sharpe ratio (Hedges UMVUE)0.70
df31
t1.17
p0.12
Lowerbound of 95% confidence interval for Sharpe Ratio-0.50
Upperbound of 95% confidence interval for Sharpe Ratio1.93
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.51
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.91
Sortino ratio1.06
Upside Potential Ratio2.47
Upside part of mean0.57
Downside part of mean-0.33
Upside SD0.25
Downside SD0.23
N nonnegative terms20
N negative terms12
N of observations32
Mean of predictor0.37
Mean of criterion0.24
SD of predictor0.35
SD of criterion0.34
Covariance0.08
r0.65
b (slope, estimate of beta)0.63
a (intercept, estimate of alpha)0.01
Mean Square Error0.07
DF error30
t(b)4.67
p(b)0.00
t(a)0.06
p(a)0.48
Lowerbound of 95% confidence interval for beta0.36
Upperbound of 95% confidence interval for beta0.91
Lowerbound of 95% confidence interval for alpha-0.34
Upperbound of 95% confidence interval for alpha0.35
Treynor index (mean / b)0.39
Jensen alpha (a)0.01
Mean0.18
SD0.35
Sharpe ratio (Glass type estimate)0.52
Sharpe ratio (Hedges UMVUE)0.51
df31
t0.86
p0.20
Lowerbound of 95% confidence interval for Sharpe Ratio-0.69
Upperbound of 95% confidence interval for Sharpe Ratio1.73
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.69
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.72
Sortino ratio0.71
Upside Potential Ratio2.09
Upside part of mean0.54
Downside part of mean-0.36
Upside SD0.23
Downside SD0.26
N nonnegative terms20
N negative terms12
N of observations32
Mean of predictor0.31
Mean of criterion0.18
SD of predictor0.35
SD of criterion0.35
Covariance0.08
r0.68
b (slope, estimate of beta)0.68
a (intercept, estimate of alpha)-0.03
Mean Square Error0.07
DF error30
t(b)5.07
p(b)0.00
t(a)-0.15
p(a)0.56
Lowerbound of 95% confidence interval for beta0.41
Upperbound of 95% confidence interval for beta0.95
Lowerbound of 95% confidence interval for alpha-0.36
Upperbound of 95% confidence interval for alpha0.31
Treynor index (mean / b)0.27
Jensen alpha (a)-0.03
VaR(95%)0.14
Expected Shortfall on VaR0.18
VaR(95%)0.05
Expected Shortfall on VaR0.11
Mean0.26
SD0.37
Sharpe ratio (Glass type estimate)0.69
Sharpe ratio (Hedges UMVUE)0.69
df712
t1.14
p0.13
Lowerbound of 95% confidence interval for Sharpe Ratio-0.50
Upperbound of 95% confidence interval for Sharpe Ratio1.88
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.50
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.88
Sortino ratio0.99
Upside Potential Ratio8.06
Upside part of mean2.11
Downside part of mean-1.85
Upside SD0.27
Downside SD0.26
N nonnegative terms408
N negative terms305
N of observations713
Mean of predictor0.39
Mean of criterion0.26
SD of predictor0.33
SD of criterion0.37
Covariance0.07
r0.54
b (slope, estimate of beta)0.61
a (intercept, estimate of alpha)0.02
Mean Square Error0.10
DF error711
t(b)17.03
p(b)0
t(a)0.08
p(a)0.47
Lowerbound of 95% confidence interval for beta0.54
Upperbound of 95% confidence interval for beta0.69
Lowerbound of 95% confidence interval for alpha-0.36
Upperbound of 95% confidence interval for alpha0.39
Treynor index (mean / b)0.42
Jensen alpha (a)0.02
Mean0.19
SD0.37
Sharpe ratio (Glass type estimate)0.50
Sharpe ratio (Hedges UMVUE)0.50
df712
t0.83
p0.20
Lowerbound of 95% confidence interval for Sharpe Ratio-0.68
Upperbound of 95% confidence interval for Sharpe Ratio1.69
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.68
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.69
Sortino ratio0.70
Upside Potential Ratio7.70
Upside part of mean2.07
Downside part of mean-1.88
Upside SD0.26
Downside SD0.27
N nonnegative terms408
N negative terms305
N of observations713
Mean of predictor0.34
Mean of criterion0.19
SD of predictor0.33
SD of criterion0.37
Covariance0.06
r0.53
b (slope, estimate of beta)0.61
a (intercept, estimate of alpha)-0.02
Mean Square Error0.10
DF error711
t(b)16.79
p(b)0
t(a)-0.10
p(a)0.54
Lowerbound of 95% confidence interval for beta0.54
Upperbound of 95% confidence interval for beta0.68
Lowerbound of 95% confidence interval for alpha-0.40
Upperbound of 95% confidence interval for alpha0.36
Treynor index (mean / b)0.31
Jensen alpha (a)-0.02
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.01
Expected Shortfall on VaR0.03
Mean-0.06
SD0.60
Sharpe ratio (Glass type estimate)-0.10
Sharpe ratio (Hedges UMVUE)-0.10
df130
t-0.07
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-2.87
Upperbound of 95% confidence interval for Sharpe Ratio2.67
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.87
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.67
Sortino ratio-0.14
Upside Potential Ratio8.43
Upside part of mean3.58
Downside part of mean-3.64
Upside SD0.42
Downside SD0.42
N nonnegative terms66
N negative terms65
N of observations131
Mean of predictor1.22
Mean of criterion-0.06
SD of predictor0.49
SD of criterion0.60
Covariance0.15
r0.53
b (slope, estimate of beta)0.66
a (intercept, estimate of alpha)-0.86
Mean Square Error0.26
DF error129
t(b)7.16
p(b)0.18
t(a)-1.18
p(a)0.57
Lowerbound of 95% confidence interval for beta0.47
Upperbound of 95% confidence interval for beta0.84
Lowerbound of 95% confidence interval for alpha-2.29
Upperbound of 95% confidence interval for alpha0.58
Treynor index (mean / b)-0.09
Jensen alpha (a)-0.86
Mean-0.24
SD0.60
Sharpe ratio (Glass type estimate)-0.39
Sharpe ratio (Hedges UMVUE)-0.39
df130
t-0.28
p0.51
Lowerbound of 95% confidence interval for Sharpe Ratio-3.17
Upperbound of 95% confidence interval for Sharpe Ratio2.38
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.38
Sortino ratio-0.54
Upside Potential Ratio7.93
Upside part of mean3.50
Downside part of mean-3.73
Upside SD0.40
Downside SD0.44
N nonnegative terms66
N negative terms65
N of observations131
Mean of predictor1.10
Mean of criterion-0.24
SD of predictor0.48
SD of criterion0.60
Covariance0.15
r0.52
b (slope, estimate of beta)0.65
a (intercept, estimate of alpha)-0.95
Mean Square Error0.26
DF error129
t(b)7.00
p(b)0.18
t(a)-1.30
p(a)0.57
Lowerbound of 95% confidence interval for beta0.47
VAR (95 Confidence Intrvl)0.04
Upperbound of 95% confidence interval for beta0.84
Lowerbound of 95% confidence interval for alpha-2.40
Upperbound of 95% confidence interval for alpha0.50
Treynor index (mean / b)-0.36
Jensen alpha (a)-0.95
VaR(95%)0.06
Expected Shortfall on VaR0.07
VaR(95%)0.03
Expected Shortfall on VaR0.06

ORDER STATISTICS

Number of observations32
Minimum0.75
Quartile 10.99
Median1.04
Quartile 31.07
Maximum1.22
Mean of quarter 10.90
Mean of quarter 21.01
Mean of quarter 31.06
Mean of quarter 41.13
Inter Quartile Range0.09
Number outliers low3
Percentage of outliers low0.09
Mean of outliers low0.80
Number of outliers high2
Percentage of outliers high0.06
Mean of outliers high1.22
Extreme Value Index (moments method)-0.73
VaR(95%) (moments method)0.05
Expected Shortfall (moments method)0.06
Extreme Value Index (regression method)0.08
VaR(95%) (regression method)0.09
Expected Shortfall (regression method)0.15
Number of observations713
Minimum0.85
Quartile 10.99
Median1.00
Quartile 31.01
Maximum1.13
Mean of quarter 10.97
Mean of quarter 21.00
Mean of quarter 31.01
Mean of quarter 41.03
Inter Quartile Range0.02
Number outliers low41
Percentage of outliers low0.06
Mean of outliers low0.95
Number of outliers high29
Percentage of outliers high0.04
Mean of outliers high1.06
Extreme Value Index (moments method)0.16
VaR(95%) (moments method)0.02
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)-0.04
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.04
Number of observations131
Minimum0.85
Quartile 10.97
Median1.00
Quartile 31.02
Maximum1.10
Mean of quarter 10.95
Mean of quarter 20.99
Mean of quarter 31.01
Mean of quarter 41.05
Inter Quartile Range0.05
Number outliers low1
Percentage of outliers low0.01
Mean of outliers low0.85
Number of outliers high1
Percentage of outliers high0.01
Mean of outliers high1.10
Extreme Value Index (moments method)-0.20
VaR(95%) (moments method)0.05
Expected Shortfall (moments method)0.06
Extreme Value Index (regression method)0.18
VaR(95%) (regression method)0.04
Expected Shortfall (regression method)0.06

DRAW DOWN STATISTICS

Number of observations4
Minimum0.09
Quartile 10.15
Median0.18
Quartile 30.22
Maximum0.31
Mean of quarter 10.09
Mean of quarter 20.17
Mean of quarter 30.19
Mean of quarter 40.31
Inter Quartile Range0.07
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations34
Minimum0.00
Quartile 10.01
Median0.02
Quartile 30.06
Maximum0.46
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.03
Mean of quarter 40.19
Inter Quartile Range0.05
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high5
Percentage of outliers high0.15
Mean of outliers high0.26
Extreme Value Index (moments method)0.01
VaR(95%) (moments method)0.16
Expected Shortfall (moments method)0.22
Extreme Value Index (regression method)0.16
VaR(95%) (regression method)0.27
Expected Shortfall (regression method)0.44
Number of observations2
Minimum0.01
Quartile 10.12
Median0.23
Quartile 30.35
Maximum0.46
Mean of quarter 10.01
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.46
Inter Quartile Range0.22
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-520279328
Max Equity Drawdown (num days)488
Last 4 Months - Pcnt Negative0.2%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.28
Compounded annual return (geometric extrapolation)0.24
Calmar ratio (compounded annual return / max draw down)0.77
Compounded annual return / average of 25% largest draw downs0.77
Compounded annual return / Expected Shortfall lognormal1.35
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.29
Compounded annual return (geometric extrapolation)0.24
Calmar ratio (compounded annual return / max draw down)0.53
Compounded annual return / average of 25% largest draw downs1.29
Compounded annual return / Expected Shortfall lognormal5.28
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.20
Compounded annual return (geometric extrapolation)-0.19
Calmar ratio (compounded annual return / max draw down)-0.41
Compounded annual return / average of 25% largest draw downs-0.41
Compounded annual return / Expected Shortfall lognormal-2.53

Trading record

SymbolSideQtyOpenedClosedP/L
WORK long1000Sep 5, 2019Jul 21, 2021($23,240)
BKNG long2Jul 31, 2018Apr 14, 2020($1,164)
WIX long177Jul 31, 2018Mar 30, 2020$1,334
CRM long50Jul 31, 2018Mar 30, 2020$616
MMYT long91Jul 31, 2018Feb 5, 2020($828)
YNDX long56Jul 31, 2018Feb 5, 2020$661
BIDU long34Jul 31, 2018Feb 5, 2020($3,941)
SHOP long28Jul 31, 2018Jul 18, 2019$5,253
IBM long17Jul 31, 2018Mar 5, 2019($116)
CTRP long73Jul 31, 2018Mar 5, 2019($114)
CRTO long216Jul 31, 2018Feb 13, 2019($937)

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.