No. of Recommendations: 5
Just a comment, backtesting ROE advantages in different universes for the last 20 years confirms it is and has been an advantage. However like most other factors the advantage is much bigger for smaller companies. Better in midcap than sp500, better still in small caps. But this is true for all factors.
On P123 using their Prussel 2000 the smallest 2000 of the largest 3000 market caps the highest ROE quartile has had a 5% advantage over the sp500.
GTR1 is still the best free place to backtest and research factors like ROE. GTR1 results from 1997 to 3/2023 for almost any factor, ratio, and dream up your own universe.
RAMc
