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How does the popular MI ROE_Cash strategy compare to COWZ performance?


Pacer US Cash Cows 100 ETF Performance

Growth of Hypothetical $10,000*
Chart | ValuesAs of 01/31/2024

Date
Value
01/31/2024
$24,312
12/31/2023
$24,439
12/31/2022
$21,293
12/31/2021
$21,239
12/31/2020
$14,907
12/31/2019
$13,360
12/31/2018
$10,843
12/31/2017
$11,955
12/31/2016
$10,000

GD_

I don't have GTR1 performance but it did a good job beating the Benchmark Index (Russell Mid Cap Value TR USD) while just matching the Market index(S&P 500 TR USD).

Pacer US Cash Cows 100 ETF
ETP's Prospectus Stated Objectives
The investment seeks to track the total return performance, before fees and expenses, of the Pacer US Cash Cows 100 Index (the "index"). Under normal circumstances, at least 80% of the fund's total assets (exclusive of collateral held from securities lending) will be invested in the component securities of the index. The index uses an objective, rules-based methodology to provide exposure to large and mid-capitalization U.S. companies with high free cash flow yields. Companies with high free cash flow yields are commonly referred to as "cash cows".

                                           Top 10
Symbol  Company Name                       Holdings
ABBV    AbbVie Inc                            2.21%
QCOM    Qualcomm Inc                          2.21%
LEN     Lennar Corp Class A                   2.20%
PSX     Phillips 66                           2.15%
BKNG    Booking Holdings Inc                  2.14%
VLO     Valero Energy Corp                    2.12%
NUE     Nucor Corp                            2.12%
MPC     Marathon Petroleum Corp               2.11%
DHI     D.R. Horton Inc                       2.11%
CVS     CVS Health Corp                       2.09%
        Top 10                               21.44%
        Other                                78.56%
        Total: 103 (Long: 102 | Short: 1)

         NAV Return  Market Return  Benchmark Index                 Market Benchmark  Alpha   R2     Beta  Standard Deviation  Sharpe Ratio
                                    (Russell Mid Cap Value TR USD)  (S&P 500 TR USD)
                                    As of 01/31/2024                As of 01/31/2024
1 Year        6.15%          6.10%                           2.42%            20.82%  -10.67  59.88  0.85               15.33          0.11
3 Year       16.25%         16.30%                           7.80%            10.99%    5.84  66.48  0.91               19.49          0.73
5 Year       14.89%         14.85%                           8.61%            14.30%    0.72  75.42  1.04               21.82          0.65
10 Year  --          --             --                              --                --      --     --    --                  --
Life         13.07%         13.03%                           7.27%            13.31%

GD_

In my own tests of strategies as close as possible to both, based on the VL set, a free cash flow yield screen has very similar or even slightly better long run return.
But it's a much wilder ride...it seems to plunge a lot in air pockets, whereas the ROE_Cash/LargeCapCash family seems a bit more gentle.
It specifically looks for large and cash rich firms, so I guess at least a bit of price resilience is to be expected from the level of business resilience it is seeking.

Jim

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