Subject: Re: Another possible screen
Here is a backtest of the screen which buys the top 20 stocks of the S&P 500 and holds for one year. VFINX is the S&P 500 index fund. BRK is also shown for comparison
Not sure the effort and time is worth it when ETF XLG top 50 only costs about 25 basis points. IT also has the better performance compared to indices with more holdings.
XLG EQWL SPY RSP ITOT
Name INVESCO INVESCO SPDR INVESCO ISHARES
Name S&P 500 S&P 100 S&P 500 S&P 500 CORE S&P TOTAL
Name TOP 50 EQL WGHT ETF TRUST EQL WGHT US STOCK MARKET
Issue type ETF ETF ETF ETF ETF
Market price $51.10 $106.64 $603.83 $181.36 $132.76
Jan-28-2025 Jan-28-2025 Jan-28-2025 Jan-28-2025 Jan-28-2025
Market total return (1 year) 33.49% 19.10% 24.89% 12.78% 23.80%
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Market total return (3 years) 11.77% 8.01% 8.85% 4.26% 7.94%
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Market total return (5 years) 17.78% 13.00% 14.47% 10.58% 13.79%
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Market total return (10 years) 15.21% 11.91% 13.01% 10.00% 12.53%
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Premium / discount (1 year avg.) 0.02% 0.04% 0.01% 0.00% 0.01%
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Beta (month-end 3 years) 1.02 0.94 1 1 1.02
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Standard deviation (month-end 3 years) 18.44 17.05 17.37 18.54 17.89
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Sharpe ratio (month-end 3 years) 0.48 0.29 0.34 0.09 0.28
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Alpha (month-end 3 years) 2.65 -0.6 -0.08 -4.23 -1.02
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
R2 (month-end 3 years) 92.87 91.85 100 87.08 99.3
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
GD_