Post #1635 by mapg on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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It appears that the strategy works similarly for all 3 indexes.

As expected for those 3 cap-weighted indexes and understand the data problem.
If I recall GTR1 has a SP1500EW index available which would be closer to representing the MI screens.
And IMO be a better Benchmark.

Example of existing ETF choices available:

                                          INVESCO      ISHARES      INVESCO        SPDR         SPDR
                                          RUSSELL        MSCI         S&P          S&P          S&P
                                            1000         USA`         500          1500         500
                                           EQ WT        EQ WT        EQ WT      COMPOSITE    ETF TRUST
                                            ETF          ETF          ETF          ETF          ETF
 
Symbol                                      EQAL         EUSA         RSP          SPTM         SPY
 
Market price                              $44.60       $88.57       $164.19      $62.80       $512.86
                                        Mar-18-2024  Mar-18-2024  Mar-18-2024  Mar-18-2024  Mar-18-2024
Market total return (1 year)               8.09%       16.57%       13.01%       28.69%       30.18%
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Market total return (3 years)              4.36%        6.76%        8.43%       11.35%       11.78%
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Market total return (5 years)              8.79%       10.67%       11.35%       14.24%       14.63%
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Market total return (10 years)              --          9.98%       10.23%       12.22%       12.58%
                                                     Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Premium / discount (1 year avg.)          -0.01%        0.02%        0.01%        0.01%        0.01%
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Beta (month-end 3 years)                    0.98         1.02         0.98          1            1
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Standard deviation (month-end 3 years)      18.6        18.72        18.29         17.7        17.63
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Sharpe ratio (month-end 3 years)            0.17         0.3          0.38         0.54         0.57
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
Alpha (month-end 3 years)                  -6.62        -4.73        -2.89        -0.49        -0.07
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024
R2 (month-end 3 years)                     85.96        92.71        89.66        99.83         100
                                        Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024  Feb-29-2024

GD_

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