Subject: Re: Earnings Day and Holding Stock
Picking the 4 stocks with the most recent earnings announcement works for Nas100, S&P500, and S&P1500. All had higher CAGR, but also extremely high turnover, with about 100% turnover every market day with the S&P 500. Results from 20000403 to 20241113 (25 years):
Screen CAGR GSD MDD Sharpe AT Depth
RecentAnnounNaz 13 30 -71 0.55 34 6
RecentAnnounSP500 16 25 -42 0.70 43 11
RecentAnnounSP1500 16 31 -59 0.64 46 25
SP500EqualWeight 10 21 -60 0.52 0 499
SP1500EqualWeight 11 24 -60 0.51 0 1499
Results from 20141111 to 20241113 (10 years):
Screen CAGR GSD MDD Sharpe AT Depth
RecentAnnounNaz 18 24 -38 0.79 36 6
RecentAnnounSP500 17 25 -38 0.71 46 9
RecentAnnounSP1500 13 31 -53 0.53 50 16
SP500EqualWeight 11 19 -39 0.60 0 500
SP1500EqualWeight 10 23 -42 0.51 0 1499
The excess annual returns are trending down, with {RecentAnnounSP500} having poor returns the last 3 years.
year recentAnn SP500ew diff
2024 5 18 -13
2023 17 14 3
2022 -13 -11 -1
2021 41 30 11
2020 32 12 20
2019 33 30 4
2018 6 -8 14
2017 14 18 -4
2016 34 15 19
2015 1 -2 4
2014 19 14 4
2013 38 36 2
2012 26 17 8
2011 19 0 19
2010 49 22 27
2009 34 46 -12
2008 -29 -40 10
2007 -2 1 -4
2006 19 16 3
2005 -3 8 -11
2004 13 17 -5
2003 36 42 -6
2002 -23 -18 -5
2001 31 0 31
2000 48 10 38
avg 18 12 6
sd 21 19 14
cagr 16 10
>0 80% 72% 64%
https://gtr1.net/2013/?~SP500E...(class.a,permco.a,step1)et1
https://gtr1.net/2013/?~SP1500...
https://gtr1.net/2013/?~Recent...
https://gtr1.net/2013/?~Recent...
https://gtr1.net/2013/?~Recent...