Stocks A to Z / Stocks B / Berkshire Hathaway (BRK.A)
No. of Recommendations: 11
Another possible screen
In a post that I cannot find, somebody mentioned that only a handful of stocks accounted for the majority of the market returns.
Just today I ran across a youtube video where he said:
"Something like 10% of all stocks accounted for like 90% of returns going back like 100 years or something like that so if you didn't have those 10% you would have been better in treasury bills."The One and Only Reason You Need to Own The SP 500 Index
https://www.youtube.com/watch?v=BN1rGvcXJ3QHis argument was that the S&P500 is an active index that goes for stocks that are expected to have good returns, and therefore you don't need to pick your own individual stocks as they have already been picked for you.
"A committee from S&P Dow Jones Indices chooses the companies that make up the S&P 500 index. The committee considers a company's financial health and other factors to determine if it's eligible for inclusion."
He showed that the stocks in the top 20 changed from year to year.
My thought was what if you ran a screen where you held just the top 10 or 20 S&P 500 stocks and held for a year, then repeated each year.
As an added bonus, this screen does not depend on Value Line to get their act together. </snark>
A preliminary look indicates that this would have beaten the S&P 500 by 3%-5% over the last 35 years.
No. of Recommendations: 12
No. of Recommendations: 1
Here is a screen that selects the top performers from the S&P, with BCC
https://tinyurl.com/2y6c2jsjI get the error message: 'this site can't be reached'.
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.
No. of Recommendations: 1
Ges, Galtassar’s tinyurl link works for me.
Thanks. It is working for me now.
No. of Recommendations: 2
Here is a screen that selects the top performers from the S&P, with BCC
https://tinyurl.com/2y6c2jsjInteresting.
I did a backtest from 1/1/1990 to 1/1/2024.
VFINX CAGR: 10.6%
Top 20 of S&P500 equal weight. Trade on Jan 1, hold one year.
CAGR: 15.9%
Turnover 43%, average 1.6 stocks each year.
If I correctly modified your gtr1 screen to the same dates and no HTD it shows:
CAGR: 12.6% (Cycle 196)
https://gtr1.net/2013/?~S%26P%20top%2010%20annual:...
No. of Recommendations: 7
There is another thing to consider.
The amount of effort that you have to do to run a screen.
Over the years, I have done a lot of different screens.
The monthly ones took a lot of work and a lot of trading.
The ones with several factors became difficult to get accurate & reliable data for the factors.
More and more sites made changes which made it difficult or impossible to easily download or scrape the data.
Some sites just flat out shut down altogether.
That's the risk of depending on the kindness of strangers.
An annual screen of the top N stocks of a major index simplifies all this.
The top 10 stocks of SPY are 37% by weight. 504 holdings
The top 10 stocks of VONG are 61% by weight. 395 holdings
The top 10 stocks of QQQ are 52% by weight. 102 holdings
Those 10 stocks dominate their respective index. At least, that my theory.
It also is low effort and the data is easy to find.
No. of Recommendations: 9
If I correctly modified your gtr1 screen to the same dates and no HTD it shows:
CAGR: 12.6% (Cycle 196)https://gtr1.net/2013/?~S%26P%20top%2010%20annual:...That will only check BCC once a year. The settings are:
Hold all positions for a fixed interval of 252 market days between trading dates.
Only buy stocks when BCC>0 on the trading date.
Closing all positions when BCC=0, and buying monthly when cash is available improves CAGR to 16.7 from 19891229 to 20241231:
Define {SP500Mo210BCC_annual}
Create [Mo]: [Total Return % over 210 days; lag=21 days]
step0: [S&P 500 Member; lag=1 days] == 1
step1: [Mkt Days Since Security Opened; lag=1 days] >= 252
step2: [Rank by [Share Class #; lag=1 days] (Asc), grouped by [Permanent Company ID; lag=1 days], at step1] == 1
step3: [Mo] Top 5; Cash When Fewer
Holding period = 21 mkt days
Hold for at least 12 holding periods
Close all liquid positions on any market dates where [BCC] == 0
Rebalance to equal weight among new positions only
{SP500Mo210BCC_annual} will:
Hold all positions for a fixed interval of 21 market days between trading dates.
Hold if not held for at least 12 consecutive holding periods.
Close all liquid positions and hold cash on any market dates where BCC=0.
https://gtr1.net/2013/?~SP500Mo210BCC_annual:h21n1...
No. of Recommendations: 5
More and more sites made changes which made it difficult or impossible to easily download or scrape the data.
Some sites just flat out shut down altogether.
That's the risk of depending on the kindness of strangers.
Sadly true. The simple screens I use can be executed, by and large, using widely available info and calculations adapted to my limited skills in Excel. It was a sad day for me when GTR1 lost the ability to use Yahoo data; but I have learned how to do some simple things for myself as a consequence.
That is, however, a reason why I would not consider an S&P "top x" screen for myself. I am not confident that I could execute it properly absent GTR1 (which I continue to revere, of course!).
Baltassar
No. of Recommendations: 2
That is, however, a reason why I would not consider an S&P "top x" screen for myself. I am not confident that I could execute it properly absent GTR1 (which I continue to revere, of course!).
What's the difficulty, the list is widely and readily available.[*]
Backtesting is another matter. I thought that gtr1's forte was backtesting. Although it can be used as a screener if you also have a certain data subscription.
I guess everybody has their own favorite tools. My main ones these days are curl, bash, and excel.
[*] You learn something new every day. I just learned that they reconstitute the S&P500 quarterly. "... on the third Friday of March, June, September, and December." The top 10 or 20 probably doesn't change much from one quarter to the next.
No. of Recommendations: 2
What's the difficulty,
The screen seeks the S&P companies with the highest 200 day return. Acquiring a list of the constituent companies is easy enough. How would you obtain the data to calculate the 200 day returns? And by "you" I mean someone who thinks "curl" and "bash" sound like gang nicknames...
Baltassar
No. of Recommendations: 5
No. of Recommendations: 6
The screen seeks the S&P companies with the highest 200 day return. Acquiring a list of the constituent companies is easy enough. How would you obtain the data to calculate the 200 day returns? And by "you" I mean someone who thinks "curl" and "bash" sound like gang nicknames...Total return or price-only return?
Total is tough, almost no sites track it. You
could get it from yahoo, but it's hard, you'd have to do it manually one stock at a time.
Maybe there are some sites that track TR, but probably have expensive subscriptions.
Come to think of it, more people know curl & bash than GTR1.
That finviz link looks useful, but again just price-only (probably). Free is free, but if you want to do stuff like export the data you have to pay $25/mo.
You can cut&paste, but the pasted format is ugly. Easy to fix with sed.
Sed, though, is in the same biker gang as curl and bash. ;-)
You could use it to make a screen of top 52 or 26 week performance.
Ah, you can also screen for Buy/Strong Buy recommends.
Just eyeball the top N stocks, bypassing any you don't like or with sell recommends.
https://finviz.com/screener.ashx?v=141&f=an_recom_...
No. of Recommendations: 11
No. of Recommendations: 11
Here is a backtest of the screen which buys the top 20 stocks of the S&P 500 and holds for one year. VFINX is the S&P 500 index fund. BRK is also shown for comparison.
In all three time periods, this screen beat the S&P500.
Starting with $1000 on Jan 1 of start year thru Dec 31 of end year.
1990 thru 2024
Top 20 VFINX BRK-A
CAGR 12.8% 10.6% 13.3%
Final $67,476 $33,748 $78,492
Max DD -36% -38% -32%
Sortino 1.08 0.80 1.16
1990 thru 2006
Top 20 VFINX BRK-A
CAGR 14.6% 10.9% 16.1%
Final $10,217 $5,834 $12,679
Max DD -29% -38% -23%
Sortino 0.59 0.28 0.53
2007 thru 2024
Top 20 VFINX BRK-A
CAGR 11.1% 10.2% 10.7%
Final $6,604 $5,784 $6,191
Max DD -36% -37% -32%
Sortino 0.23 0.20 0.26
No. of Recommendations: 1
Apology for losing the thread, but top 20 by what metric? Market cap? 1 year performance?
No. of Recommendations: 3
Top 20 holdings in the S&P 500 (by weight). Buy every January 2, hold until next Jan 2. Equal weight.
Top 10 works fine, too. Just a bit more volatile.
No. of Recommendations: 9
Here is a backtest of the screen which buys the top 20 stocks of the S&P 500 and holds for one year. VFINX is the S&P 500 index fund. BRK is also shown for comparisonNot sure the effort and time is worth it when ETF XLG top 50 only costs about 25 basis points. IT also has the better performance compared to indices with more holdings.
XLG EQWL SPY RSP ITOT
Name INVESCO INVESCO SPDR INVESCO ISHARES
Name S&P 500 S&P 100 S&P 500 S&P 500 CORE S&P TOTAL
Name TOP 50 EQL WGHT ETF TRUST EQL WGHT US STOCK MARKET
Issue type ETF ETF ETF ETF ETF
Market price $51.10 $106.64 $603.83 $181.36 $132.76
Jan-28-2025 Jan-28-2025 Jan-28-2025 Jan-28-2025 Jan-28-2025
Market total return (1 year) 33.49% 19.10% 24.89% 12.78% 23.80%
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Market total return (3 years) 11.77% 8.01% 8.85% 4.26% 7.94%
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Market total return (5 years) 17.78% 13.00% 14.47% 10.58% 13.79%
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Market total return (10 years) 15.21% 11.91% 13.01% 10.00% 12.53%
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Premium / discount (1 year avg.) 0.02% 0.04% 0.01% 0.00% 0.01%
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Beta (month-end 3 years) 1.02 0.94 1 1 1.02
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Standard deviation (month-end 3 years) 18.44 17.05 17.37 18.54 17.89
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Sharpe ratio (month-end 3 years) 0.48 0.29 0.34 0.09 0.28
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
Alpha (month-end 3 years) 2.65 -0.6 -0.08 -4.23 -1.02
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
R2 (month-end 3 years) 92.87 91.85 100 87.08 99.3
Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024 Dec-31-2024
GD_
No. of Recommendations: 7
Not sure the effort and time is worth it when ETF XLG top 50 only costs about 25 basis points. Always with the negative waves, Moriarty. ;-)
From a backtest at testfol.io, Jan 2006 to Jan 2024, starting with $10,000.
Name Ending CAGR MaxDD Vol'ty Sortino
Value
XLG $75,298 11.22% -52.40% 18.95% 0.81
VFINX $65,528 10.40% -55.26% 19.52% 0.74
QQQ $143,689 15.06% -53.41% 21.88% 0.97
AJG $163,374 15.84% -47.89% 22.84% 0.99
BRK-B $76,438 11.30% -53.86% 21.54% 0.8
Top20 $66,848 10.52% -52.89% <<< My backtest
XLG $76,080 11.3% -48.3% <<< My backtest
Neat thing about testfol.io is that you can specify the range of dates instead of being limited to the last 10 or 5 or 3. These are the comparisons from the first year that all the above were available on Jan 1.
My excel spreadsheet backtest shows essentially the same results as testfolio, which confirms that it is valid.
So I'd agree with your assessment -- might as well go with XLG.
VFINX is the S&P500. BRK and XLG both did (slightly) better. CAGR 1% better.
However, both QQQ and AJG trounced them. At a cost of slighty worse volatility.
FWIW, I also backtested using GTT timing, and got the typical results. Return was a little lower but MaXDD and volatility and Sortino ratio were all much better.
No. of Recommendations: 1
Apologies for being slow on the uptake: AJG = ? (Presumably not Arthur J. Gallagher & Co.?)
No. of Recommendations: 3
No. of Recommendations: 4
So I'd agree with your assessment -- might as well go with XLG.FYI
Invesco S&P 500 Top 50 ETF (XLG)
Holdings
Total: 53 (Long: 53 | Short: 0)
Top 10 60.48%
Other 39.52%
Top 10
Company Symbol Company Name Holdings Percentage
AAPL Apple Inc 11.65%
MSFT Microsoft Corp 10.08%
NVDA NVIDIA Corp 9.62%
AMZN Amazon.com Inc 7.26%
META Meta Platforms Inc Class A 4.91%
GOOGL Alphabet Inc Class A 3.89%
TSLA Tesla Inc 3.69%
AVGO Broadcom Inc 3.37%
GOOG Alphabet Inc Class C 3.20%
BRK/B Berkshire Hathaway Inc Class B 2.80%
Sector Exposure Industry Exposure
Information Technology 41.16% Semiconductors & Semiconductor Equipment 15.27%
Communication Services 14.99% Software 12.67%
Consumer Discretionary 12.96% Interactive Media & Services 12.00%
Financials 10.55% Technology Hardware, Storage & Peripherals 11.65%
Health Care 9.23% Broadline Retail 7.26%
Consumer Staples 6.22% Financial Services 6.22%
Energy 2.35% Pharmaceuticals 4.60%
Industrials 1.31% Banks 4.33%
Materials 0.69% Automobiles 3.69%
Utilities 0.48% Consumer Staples Distribution & Retail 2.80%
GD_
