No. of Recommendations: 3
Annual returns for the gtr1 screen {zgYPS} are close to the ETF YPS:
year zgYPS YPS RSP SPY
2018 -9 -10 -8 -5
2019 28 28 29 31
2020 12 8 13 18
2021 33 31 29 29
2022 -12 -13 -12 -18
Backtest results are close to SPY, RSP, and S&P 1500 equal weight (with no friction, quarterly rebalancing).
from 19570301 to 20230310:
Screen CAGR SAWR GSD MDD Sharpe AT Depth weight
zgYPS 12.5 8.4 24 -65 0.46 0.6 500 inverse
gSPY 10.3 6.2 17 -55 0.44 0.3 499 mkt cap
zgRSP 12.0 8.1 19 -60 0.50 0.3 500 equal
SP1500 12.2 8.5 20 -60 0.49 0.3 930 equal
from 19870302 to 20230310:
Screen CAGR SAWR GSD MDD Sharpe AT Depth weight
zgYPS 10.7 7.4 26 -65 0.43 0.6 501 inverse
gSPY 9.9 5.4 18 -55 0.49 0.3 500 mkt cap
zgRSP 11.1 7.9 20 -60 0.52 0.4 501 equal
SP1500 11.4 8.5 22 -60 0.50 0.4 1287 equal
from 20130308 to 20230310:
Screen CAGR weight
zgYPS 11.2 inverse
gSPY 11.7 mkt cap
zgRSP 11.2 equal
SP1500 10.6 equal
Define {zgYPS}
step0: [S&P 500 Member; lag=1 days] == 1
Holding period = 63 mkt days
Weight liquid positions by [inverseMktCap] every holding period
No friction
gtr1.net: GTR1 Backtester - zgYPS 