No. of Recommendations: 6
With lots of screens I use bad 1 week return sorts and often stocks doing well in last 10 months but with a poor last week is a good combination. I also experiment with float instead of Market Cap since of course actually tradable shares is what matters not total Market Cap. Using just float and dropping MktCap on this one and a $10 minimum with a 3 month hold actually improves the CAGR to 23.96% since 19970902.
gtr1.net: GTR1 BacktesterIf you drop float and just use dol vol instead CAGR 26.97% since 19850201 when the Nasdaq100 was launched.
(29% since end of 2008).
gtr1.net: GTR1 Backtester 26% cagr with a .3 spread, .75 sharpe, 1.4 beta, no start week worse than 20%, no start week worse sharpe than .6 or worse beta than 1.48.
Low prices and bad last weeks are good on many universes.
10 years ago the average relative bid/ask spread of all additions to the Nasdaq100
since 1998 was 0.33% before the addition, and 0.21% after, so using .3 is plenty.
TY - JOUR
AU - Yu, Susana
AU - Webb, Gwendolyn
AU - Tandon, Kishore
PY - 2014/08/24
SP -
T1 - What Happens When a Stock Is Added to the Nasdaq-100 Index? What Doesn't Happen?
VL - 41
DO - 10.1108/MF-02-2014-0044
JO - Managerial Finance
ER -
Sounds pretty good to me.
