No. of Recommendations: 7
This is the backtest of the two periods of PHL top 10. No timing.
1st period, 1986 - 2006 with 1.5% friction
2nd period, 2006 - 2026 with 0.5% friction (probably higher than actual)
1/2/1986 9/1/2006
CAGR 22.8%
Stdev 32.9%
MaxDD(12) -56%
Sortino 1.31
Grth $10K $695,466
CAGR MaxDD
QQQSIM 13.0% -83%
VFINX 11.3% -48%
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9/1/2006 - 12/1/2025
CAGR 17.4%
Stdev 23.8%
MaxDD(12) -46%
Sortino 1.28
Grth $10K $218,099
CAGR MaxDD
QQQ 16.3% -53%
VFINX 10.9% -55%
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From Google AI:
"Between 1986 and 2006, the average bid-ask spread percentage for Nasdaq 100 stocks experienced a massive structural shift, dropping from roughly 1.5% to 2.5% in the late 1980s down to below 0.10% (10 basis points) by 2006."
"From 2006 to now, the average bid-ask spread percentage for Nasdaq 100 stocks has typically ranged between 0.01% and 0.05% (or 1 to 5 basis points) during normal market conditions. Because the Nasdaq 100 consists of the largest, most highly liquid non-financial companies, its spreads are among the tightest in the global equity markets."
"* Mid-1980s to Late 1990s: Average percentage quoted spreads for large-cap Nasdaq stocks typically ranged from 1.0% to 2.0% (often higher in the 1980s before order-handling rule reforms in 1997).
* Post-2001 (Decimalization): After U.S. markets switched from fractional pricing (16ths and 32nds) to decimals in 2001, spreads for liquid large-caps dropped dramatically, compressing closer to 0.1% to 0.3% (10 to 30 basis points).
* The Nasdaq-100 Advantage: Because the Nasdaq-100 comprises the largest, most heavily traded non-financial companies, their individual spreads were consistently lower than the broader Nasdaq composite average throughout this period."
* 1986-1996 was 1.0% to 2.5% depending on the specific stock's volume and price volatility. 1997-2000 was 0.5%-1.0%. 2001-now 0.05% to 0.15%.
For Microsoft:
1986-1996 : 1.2% - 2.2%
1997-2000 : 0.4% - 0.9%
2001-2006 : 0.02% - 0.08%
