Workshop Portfolio

The Daily Workshop Report
by Robert Sheard (TMF Sheard)

LEXINGTON, KY. (Nov. 5, 1997)

Scroll to the bottom for year-to-date Growth and Value Screen results.

Have you ever wondered what the best stocks have been in terms of risk-adjusted performance? Good, glad you asked.

The Sharpe Ratio is a measure of return per unit of risk. And one way to calculate this for individual stocks is to take the stock's total return over a given period (three, five, ten years, perhaps) and divide that by the standard deviation over the same period. It's completely backward looking, of course, but it does point to stocks that have not only performed well, but that performed well without inordinate risk.

Today, for informational purposes only, I'll post the best performers based on Sharpe Ratios over these three periods. I'm not sure how one might incorporate this statistic into a current investment decision, but the information is interesting, at least to me.

Past Three Years:
Dell Computer (Nasdaq: DELL)
Interstate Bakeries (NYSE: IBC)
U.S. Trust (Nasdaq: USTC)
Exxon Corp. (NYSE: XON)
Star Banc Corp. (NYSE: STB)
United Technologies (NYSE: UTX)
Global Marine (NYSE: GLM)
Tyco Int'l Ltd. (NYSE: TYC)
DEKALB Genetics 'B' (NYSE: DKB)
Pfizer, Inc. (NYSE: PFE)

Past Five Years:
Clear Channel (NYSE: CCU)
Robert Half Int'l (NYSE: RHI)
Tellabs Inc. (Nasdaq: TLAB)
HBO & Co. (Nasdaq: HBOC)
Citicorp (NYSE: CCI)
McKesson Corp. (NYSE: MCK)
Corrections Corp. (NYSE: CXC)
Star Banc Corp. (NYSE: STB)
U.S. Trust (Nasdaq: USTC)
U.S. Bancorp (NYSE: USB)

Past Ten Years:
Cedar Fair L.P. (NYSE: FUN)
Clear Channel (NYSE: CCU)
DQE (NYSE: DQE)
Coca-Cola (NYSE: KO)
Microsoft Corp. (Nasdaq: MSFT)
Home Depot (NYSE: HD)
Fastenal Co. (Nasdaq: FAST)
NIPSCO Inds. (NYSE: NI)
IPALCO Enterprises (NYSE: IPL)
Buckeye Partners L.P. (NYSE: BPL)

If you limit the field to the 100 largest stocks (as I tend to do with my own investing), the list becomes much more recognizable and predictable. For example, here's the list of best performers over the last three years:

Dell Computer (Nasdaq: DELL)
Exxon Corp. (NYSE: XON)
United Technologies (NYSE: UTX)
Tyco Int'l Ltd. (NYSE: TYC)
Pfizer Inc. (NYSE: PFE)
Eli Lilly (NYSE: LLY)
Bristol-Myers Squibb (NYSE: BMY)
Allstate Corp. (NYSE: ALL)
General Electric (NYSE: GE)
U.S. Bancorp (NYSE: USB)

Fool on!

Monthly Growth Screens
(Jan. 3 to present)
90.36%  Relative Strength  
33.59%  EPS Plus RS  
33.56%  Investing for Growth  
26.04%  S&P 500 Index  
22.33%  Formula 90  
18.75%  Unemotional Growth  
17.86%  YPEG Potential  
13.79%  Low Price/Sales  

Annual Value Screens
(Jan. 1 to present)
22.80%  Dogs of the Dow  
22.45%  Beating the S&P  
22.08%  Dow Combo  
20.75%  Foolish Four
20.46%  Unemotional Value  
20.46%  Beating the Dow  
19.30%  Dow Jones Ind Avg