No. of Recommendations: 13
One or more studies show stocks added to the S&P500 have a run-up before any announcement, for months. So I came up with a screen to select the type the S&P500 often add, by taking the S&P1500 universe ex-the S&P500 stocks.
5 stocks
Sp1500a.!=null
Sp500=null
MktCap top 50 product(sprc(1,1),csoq1d.s)
Adv(1,63)>20000000
Roey1.s>20 and <45
Aprc(1)>15
Tr(1,60)>0
Ratio(tr(1,200),tr(1,5)) top 10
Roey1.s top 5
gtr1.net: GTR1 Backtester v. S&P500
screen v. S&P500 19970902 to 20251128
core drivers are:
1️⃣ large companies near S&P500 scale
2️⃣ high profitability
large-cap companies
with extremely high profitability
still outside the S&P500
during growth-stock regimes
recent drawdown over the short term
Profit not so crazy as not to be sustainable.
strategy v. S&P500
Cagr 22.1% 10
Gsd 30 20.9
Sharpe .81 .5
Ldd 17.88 11.4
Ui 17.9 11.4
Beta 1 1
Ti 19.66 8.7
At 3.8 .5
Mdd -66.6 -60.3
So same beta as the S&P with similarly large profitable stocks on the bet they are on the way to being added to the S&P500, but twice the S&P500 return.
