Subject: Re: Have Bear Catchers worked post-discovery?
It appears that the strategy works similarly for all 3 indexes.
As expected for those 3 cap-weighted indexes and understand the data problem.
If I recall GTR1 has a SP1500EW index available which would be closer to representing the MI screens.
And IMO be a better Benchmark.
Example of existing ETF choices available:
INVESCO ISHARES INVESCO SPDR SPDR
RUSSELL MSCI S&P S&P S&P
1000 USA` 500 1500 500
EQ WT EQ WT EQ WT COMPOSITE ETF TRUST
ETF ETF ETF ETF ETF
Symbol EQAL EUSA RSP SPTM SPY
Market price $44.60 $88.57 $164.19 $62.80 $512.86
Mar-18-2024 Mar-18-2024 Mar-18-2024 Mar-18-2024 Mar-18-2024
Market total return (1 year) 8.09% 16.57% 13.01% 28.69% 30.18%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (3 years) 4.36% 6.76% 8.43% 11.35% 11.78%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (5 years) 8.79% 10.67% 11.35% 14.24% 14.63%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (10 years) -- 9.98% 10.23% 12.22% 12.58%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Premium / discount (1 year avg.) -0.01% 0.02% 0.01% 0.01% 0.01%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Beta (month-end 3 years) 0.98 1.02 0.98 1 1
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Standard deviation (month-end 3 years) 18.6 18.72 18.29 17.7 17.63
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Sharpe ratio (month-end 3 years) 0.17 0.3 0.38 0.54 0.57
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Alpha (month-end 3 years) -6.62 -4.73 -2.89 -0.49 -0.07
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
R2 (month-end 3 years) 85.96 92.71 89.66 99.83 100
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
GD_