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?
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.
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.
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.)
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.
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.
I would think a better comparison for those screens would be IWM. If small caps as a whole are underperforming, I don’t think those screens will do well.
Tech has been in vogue for a while now.