No. of Recommendations: 5
He is making an excellent point.
Using GTR1, From 19570228 to 20250110 13 week quarterly hold 0.15% friction:
No BCC or any other criteria.
SP500 all 500 12.1% CAGR MDD -59.6% AT 0.3% ? seems like a high turnover for holding all 500
SP500 tr(1,252) top 20% 14.3% CAGR, MDD 53.5% AT 1.67
SP500 tr(1,252) top 10% 15.1% CAGR, MDD -58.3% AT 1.96
SP500 tr(1,252) top 5% 15.8% CAGR, MDD -64.2% AT 2.15
SP500 tr(1,252) top 5% HTD top 10% CAGR 16.4% MDD 88%
For a top 5% HTD 10% CAGR looks good at 16.4% but MDD increased to 88%!
Interesting observation, and for holding top 10% there has been 3%more gain, slightly less MDD
than holding the entire SP500.
Ges, Galtassar’s tinyurl link works for me.
