Post #2761 by lizgdal on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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No. of Recommendations: 9

Picking the 4 stocks with the most recent earnings announcement works for Nas100, S&P500, and S&P1500. All had higher CAGR, but also extremely high turnover, with about 100% turnover every market day with the S&P 500. Results from 20000403 to 20241113 (25 years):

      Screen        CAGR  GSD  MDD  Sharpe  AT  Depth
  RecentAnnounNaz    13   30   -71   0.55   34    6
RecentAnnounSP500    16   25   -42   0.70   43    11
RecentAnnounSP1500   16   31   -59   0.64   46    25
 SP500EqualWeight    10   21   -60   0.52   0    499
SP1500EqualWeight    11   24   -60   0.51   0   1499

Results from 20141111 to 20241113 (10 years):

      Screen        CAGR  GSD  MDD  Sharpe  AT  Depth
  RecentAnnounNaz    18   24   -38   0.79   36    6
RecentAnnounSP500    17   25   -38   0.71   46    9
RecentAnnounSP1500   13   31   -53   0.53   50    16
 SP500EqualWeight    11   19   -39   0.60   0    500
SP1500EqualWeight    10   23   -42   0.51   0   1499

The excess annual returns are trending down, with {RecentAnnounSP500} having poor returns the last 3 years.

year  recentAnn  SP500ew  diff
2024      5        18     -13
2023      17       14       3
2022     -13       -11     -1
2021      41       30      11
2020      32       12      20
2019      33       30       4
2018      6        -8      14
2017      14       18      -4
2016      34       15      19
2015      1        -2       4
2014      19       14       4
2013      38       36       2
2012      26       17       8
2011      19        0      19
2010      49       22      27
2009      34       46     -12
2008     -29       -40     10
2007      -2        1      -4
2006      19       16       3
2005      -3        8     -11
2004      13       17      -5
2003      36       42      -6
2002     -23       -18     -5
2001      31        0      31
2000      48       10      38
 
avg       18       12       6
 sd       21       19      14
cagr      16       10
 >0      80%       72%    64%

https://gtr1.net/2013/?~SP500EqualWeight:h63f0.4::...(class.a,permco.a,step1)et1
https://gtr1.net/2013/?~SP1500EqualWeight:h63f0.4:...
https://gtr1.net/2013/?~RecentAnnounSP500:h1r0::sp...
https://gtr1.net/2013/?~RecentAnnounSP1500:h1r0::s...
https://gtr1.net/2013/?~RecentAnnounNaz:h1r0::nas1...

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