Post #3860 by musselmant on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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No. of Recommendations: 3

sorry, prior post was using nasdaq100 top 10 1 yr return stocks, then 5 lowest 1 yr beta
Here is with S&P universe from 19850207

cagr 10.89 i.e. less than index and less than without extra beta step
sharpe .4 i.e. less than index
beta 1
2025 10.8
2024 20.9

https://gtr1.net/2013/?~NAZ_RS52w:s19850201f0.2500...

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