Post #5397 by rayvt on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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The S&P200 cannot be backtested on GTR1, but the S&P100 can {!S1T}. From Sept 1989 thru last November its returns and risk metrics are basically indistinguishable from the S&P500. I can't imagine that taking the top 200 instead would make much difference.

The top 100 stocks are 74.4% of the weight.
The top 200 are 87.4%.

The remaining 303 total only 12.6%. They might as well not be there. The top 200 are going to account for nearly all of the S&P500 performance.

One of our prolific posters once said that if you want to have performance that is different than the index you have to have a set of holdings that is different than the index.

iShares Russell Top 200 ETF (IWL) is just the industry coming up with a good story to rope people in.

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