No. of Recommendations: 12
The change in performance happened quickly with these 51 screens, and so maybe conclusions can be found after only a few years of post-discovery.
year excess_return
average 1988 to 2007 24%
2008 16%
2009 -13%
2010 -1%
2011 0%
Elan wrote (in a separate thread): "If you start with a list of 100 screens, let's say, and rank them by 10 year performance, and the average screen lags the market by 5%, then you will randomly get a few screens that beat the market by a few points and a lot more screens that lag the market by more than 5%. You are virtually guaranteed that, all else being equal, a different set of screens will beat the market over the next ten years."
To test if I am being fooled by randomness, I picked 22 screens to follow. I then used WWL to pick 5 of these. This is only a paper test, with no real money, as I expect randomness to win.
These are the 12 standard SIP screens I would pick today (I would use depth 10):
FCF26
Fried_500
HighRelativeValue
LowMult
LowPSplus
Quality_Earnings
RS_100
Up5pct
Up5X3
VG_Horse
WK_Voom
YldEarnYear_SI
I would add the following 7 screens that have been posted on MI:
DivIncrease2019b
Nas100Momentum (depth 5)
Profitable2021
SP100EG (depth 5)
SP1500Fscore
SurpriseEstimates
TinyTitans2022c2
And I would add 3 ETF's that have gtr1 backtests:
zgCOWZ2023 (depth 100)
zgQUAL_2018 (depth 20)
zgSCHD2023a (depth 100)
Based on WWL, I would pick the following 5 screens to use in 2024:
Nas100Momentum
SP100EG
SP1500Fscore
SurpriseEstimates
TinyTitans2022c2
