10-yr backtests on select SI Pro screens

Here are the annualized returns of 16 selected SI Pro screens over the past 10 years. Only 6 of them beat the market. Remember, the period from 2014 through 2023 included bear markets in 2020 and 2022, and a near-bear market in 2018. Despite that, screens based on Small Cap Value such as 3pt_relative_value, LowPS+ and PS_I_Love_You failed to provide any protection, and lost badly to the market.

On the other hand, screens with growth factors such as positive YoY EPS growth or sales growth such as Up_5% or Up5X3 did beat the market.

Not a single SI Pro screen achieved a 10-yr CAGR exceeding 20%, whereas Portfolio123 has 4 such model screens. It seems to me that we would need to include more growth factors to build SI Pro screens that performed at the 20%+ CAGR level since 2014. Thoughts?

Screen 10-yr CAGR MDD LDD3
Up5X3 15.8 -57 14.5
WK_Voom 15.8 -44 11.4
VG_Horse 15.4 -54 14.6
Tech_Growers 14.8 -79 29.7
Up_5% 13.4 -62 15.6
High_Rel_Value 12.2 -47 12.5
S&P 500 12.1 -33 6.77
Value_at_Top 9.2 -52 15.7
LowPS+ 8.7 -71 20.5
3pt_Rel_Value 7.3 -54 17
Silver_Parachute 7 -72 23.5
RS_100 6.8 -54 17.2
GS_Mungo 6.2 -50 16
P/S_I_Love_You 6.2 -64 18.2
Blue_Skies 5.5 -62 19
Net_Nets_Graham 2.4 -74 34
PIH_Naked -9.9 -89 36
8 Likes

Over on shrewdm, I see that RAMc has posted gtr1 URLs for the ROE_Cash and YldEarnYear_SI screens. I modified these screens to hold the top 5 stocks (rather than top 10), and backtested them. Here’s the 10-year results table with these 2 screens added.

ROE_Cash (Top 5) gtr1 screen

YldEarrnYear_SI (Top 5) gtr1 screen

Screen 10-yr CAGR MDD LDDD3
Up5X3 15.8 -57 14.5
WK_Voom 15.8 -44 11.4
VG_Horse 15.4 -54 14.6
Tech_Growers 14.8 -79 29.7
ROE_Cash 13.6 -35 8.6
Up_5% 13.4 -62 15.6
High_Rel_Value 12.2 -47 12.5
S&P 500 12.1 -33 6.77
Value_at_Top 9.2 -52 15.7
LowPS+ 8.7 -71 20.5
YldEarnYear_SI 8.5 -58 16.7
3pt_Rel_Value 7.3 -54 17
Silver_Parachute 7 -72 23.5
RS_100 6.8 -54 17.2
GS_Mungo 6.2 -50 16
P/S_I_Love_You 6.2 -64 18.2
Blue_Skies 5.5 -62 19
Net_Nets_Graham 2.4 -74 34
PIH_Naked -9.9 -89 36

Note that the latest ROE_Cash screen (boris version) has the following top 5 picks: GOOGL MSFT META TSLA CSCO These are some of the largest megacap companies in the US stock market.

They’re on the opposite side of the spectrum compared to the traditional small cap screens we’ve been tracking over the years.

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THANK YOU Rana. Been hoping someone would do this. Very useful for potential screen selection.

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I agree that the standard MI SIP screens have underperformed recently, but this is an interesting set of screens. The discovery dates are well-documented, they were discovered more than 10 years ago, and they were considered good screens when discovered (they went through a vetting process). A portfolio buying all 50 screens had significant out-performance before 2008 (including several years post-discovery), but only average performance after 2008. This can be seen on a year-by-year basis, with no signs of recovery in 2023.

I agree that adding more screens is needed. I think retiring screens is also needed. The retired screens can be kept in the standard MI list, but an “active” list could be made every year. (This is different than a “top 10” or “gold” list.)

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Completely agree. Going forward, I’ll post here just the rankings of a list of active screens that have beaten the market over the past 10 years - the 7 screens above plus musselmant’s screen which I’ve named Liquid Consolidators.

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In the past, Shrinkage (based on stock buybacks) often had the best backtest results. Any idea how it has done the last five years or so?

DB2

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Good to hear from you, Dr. Bob. Unfortunately , Shrinkage has not done well over the past 10 years or 5 years.

Shrinkage 12/31/2013 to today (10 years)
CAGR: 5.1%
LDDD3: 16.7
MDD: -55%
Sharpe(20): 0.27
Total Return for Year Ending:
20141231 -11.320909
20151231 -0.469144
20161230 19.732489
20171229 37.175278
20181231 -4.647485
20191231 40.623669
20201231 0.599875
20211231 31.855362
20221230 -40.341118
20231229 10.835373
20240111 -2.725131

Shrinkage Screen - GTR1 URL

3 Likes

FWIW, last year they did well according to these results posted by lizgdal:
https://www.shrewdm.com/MB?pid=526761485
From 20221230 to 20231229, 21 day hold, 0.4% friction, 10 deep.

            CAGR
Shrinkage    29
Dilution    -62%

S&P500       27%

DB2

3 Likes