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The week's question
In December 2024, in the thread "Re: BRK: Why Not XOM?", sykesix asked the members: "What do you do if you arrive early at movie besides go to the snack bar?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
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Investment Strategies / Mechanical Investing
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Author: lizgdal ✶☼  😊 😞
Number: of 6373 
Subject: Re: My new Program
Date: 01/22/26 6:05 PM
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No. of Recommendations: 9
The adept RAMc wrote: Has BCC helped a well-known screen?

I expect adding BCC to a screen will lower both CAGR and GSD, with high GSD screens showing the biggest change. To test my expectations, I looked at results for 3 screens and 3 indexes. Selling when BCC=0 had these effects:

Risk measures (GSD, LDDD3, MDD, UI) were all improved.
5 out of 6 CAGRs were improved slightly.
SAWR and Sharpe were all improved slightly.
On average, all metrics improved except there was slightly higher turnover (AT).

   Screen     CAGR  SAWR  GSD   LDDD3  MDD   UI   Sharpe  Beta   TI   AT
average 18.8 8.2 26.6 12 -60 15.1 0.65 1.05 16.0 4.0
average_BCC0 19.8 9.6 24.0 10 -48 12.5 0.75 0.81 20.6 4.3


I don't see any relation between a screen's GSD and the change in GSD with BCC timing. The 3 indexes showed the largest changes in GSD, but had lower GSDs than the 3 screens. I will have to review my expectations, but have continued confidence in BCC=0 timing.

        Screen          CAGR  SAWR  GSD   LDDD3  MDD   UI   Sharpe  Beta    TI    AT     From       To
SP500MktCapWeight 10.9 6.6 16.6 10 -54 11.5 0.48 1.00 7.3 0.2 19570301 20251128
SP500EqualWeight 12.0 8.0 19.1 10 -60 10.5 0.50 1.07 8.0 0.3 19570301 20251128
SP1500EqualWeight 12.0 8.4 20.2 10 -60 10.6 0.49 1.10 8.0 0.3 19570301 20251128
Gentle_Screamers 16.4 4.9 28.0 14 -60 21.1 0.62 0.82 18.6 10.5 19870302 20251128
VG_Horse 35.7 10.6 33.7 10 -52 13.3 1.09 0.91 35.2 8.5 19870302 20251128
Nas100Momentum 25.8 10.7 42.1 17 -74 23.8 0.74 1.40 18.7 4.2 19850201 20251128
average 18.8 8.2 26.6 12 -60 15.1 0.65 1.05 16.0 4.0

SP500MktCapWeight_BCC0 12.4 8.5 13.8 7 -34 7.0 0.65 0.72 11.5 0.9 19570301 20251128
SP500EqualWeight_BCC0 13.4 9.9 15.7 7 -39 7.3 0.65 0.77 12.2 0.9 19570301 20251128
SP1500EqualWeight_BCC0 13.3 9.3 16.8 8 -42 8.0 0.62 0.79 12.0 1.0 19570301 20251128
Gentle_Screamers_BCC0 17.4 5.5 26.7 12 -57 18.6 0.68 0.71 22.4 10.2 19870302 20251128
VG_Horse_BCC0 34.6 11.5 31.1 9 -51 12.5 1.11 0.73 42.3 8.3 19870302 20251128
Nas100Momentum_BCC0 27.5 12.8 39.8 14 -66 21.4 0.80 1.17 23.1 4.3 19850201 20251128
average_BCC0 19.8 9.6 24.0 10 -48 12.5 0.75 0.81 20.6 4.3

chg_SP500MktCapWeight 1.5 1.9 -2.8 -3 21 -4.5 0.17 -0.28 4.2 0.7
chg_SP500EqualWeight 1.4 1.8 -3.4 -3 21 -3.2 0.15 -0.30 4.2 0.6
chg_SP1500EqualWeight 1.3 0.9 -3.4 -3 18 -2.7 0.13 -0.31 4.0 0.6
chg_Gentle_Screamers 1.0 0.6 -1.3 -1 3 -2.5 0.05 -0.11 3.8 -0.3
chg_VG_Horse -1.1 0.9 -2.6 -0.4 1 -0.8 0.02 -0.18 7.1 -0.2
chg_Nas100Momentum 1.7 2.0 -2.3 -3 7 -2.4 0.06 -0.23 4.4 0.1
chg_average 1.0 1.3 -2.6 -2 12 -2.7 0.10 -0.24 4.6 0.3

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This community has written 6,354 posts about Mechanical Investing. The article-length ones it recommended most:
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