Greenfield Optimized SR Status into Tuesday, January 16

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Good morning all.  This is an update on the Greenfield Optimized Sharpe Ratio Portfolio that I started publishing at the start of the year.

Here's the account status:

About 1.6% is in cash -- all the rest is invested in dividend-paying stocks.  The current holdings and unrealized profits/losses are as follows:

JPM reported a 1% change in EPS on a YoY basis and a 3% change in a TTM basis, but quarterly EPS change compared to the same quarter dropped -37%.  This drop in EPSQtr-1y change triggers a sell for JPM.

Here is the current schedule of earnings releases that I am watching:

As you can see, CFG is up to report this week.

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Something did pop up on my radar which could trigger a sell signal for an individual stock.  It appears that APO has decreased their dividend payment, which is something I missed in the original screen.  Here is the confirming link:

http://www.nasdaq.com/symbol/apo/dividend-history

Consequently, APO will be marked for sell, as this violates one of the basic tenants of the portfolio that dividend income will be constant to improving on a YoY basis.  Not catching this is my mistake.

Selling a Position

1.  All orders will be time-activated after 9:40 a.m. ET.
2.  If evaluating in the evening after the market close or prior to the next day's open, take the day's low and multiply by 0.99.  This is the stop loss trigger.
3.  Enter a stop loss order for the trigger level for the particular equity.

In this example JPM's SL trigger is $109.73 and APO's SL trigger is 35.58.

These values will change daily.  They will NEVER go down; only adjust upward.  Effectively, you are trailing a rising stock until it ceases to rise.

Adjust nightly until the positions are exited.

Done.

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As with all my ramblings, you are responsible for your own investment decisions and I am not.  Please do your own diligence, and please take ownership for your actions.

Regards,

pgd