New screen doubles S&P CAGR

S&P stocks as they change over time
low price bottom 10
low ROE bottom 5
Trade weekly, hold 5 days, .2% friction:

CAGR 26.4% since 2007
17% since 19970902

Trade monthly (21 days)
CAGR 24.99% since 2007

Trade quarterly
CAGR 21.7% v. SPY 10%

Sometimes simple is good.

https://gtr1.net/2013/?s20071231h63f0.20000::sp500.a:nenull:aprc(1)bn10:roey1.s:bn5

11 Likes

Thanks for posting.
Apparently sp500.a != null limits to S&P 500 stocks. Are there other options? Like the stocks in the Nasdaq 100, or DJIA? As an educated guess I tried djia.a != null, but it was not recognized.

I have read GTR1 for dummies. Are there other places I might find answers to this type of question?

I found this on Datahelper:
http://www.datahelper.com/mi/search.phtml?nofool=youBet&mid=31107851

Unfortunately it links by the old MF message post number. Those numbers appear in the Datahelper archive posts, but it’s not possible to search by message number. I wonder if Datahelper could add a “search by post number”? Does anyone communicate with the owner of Datahelper?

No, but you can search by author TGMark and put “recent GTR1” in the search term and change the dates in the search form to be around the time of that thread (a year or whatever on either side).

nas100.a = 1 for nasdaq100

1 Like

Interesting!
Out of curiosity, I ticked the “Detailed Report on Focus Variant” to show all available performance metrics. If I read results right (I’m not a GTR1 expert):

Average CAGR in the low 20’s
GSD around 50
Maxdrawdown in low 70’s

FWIW, simple SPXL (a 3x leverage SPY ETF) has the following stats since 2007. I simply pulled down the data to compute these stats i.e. the following isn’t from a GTR1 run. Multiply by 100 to get percentages:

Annualized Return 0.239
Annualized Std Dev 0.572700
MaxDrawdown 0.768561

2 Likes

Any chance this can be added to the list of screens that’s published weekly?
Eric Hines

I am not clear what the screening criteria are. lowest price, and lowest roe? Wouldn’t a negative roe be the lowest?

One might think so but backtesting shows the opposite.

Are companies with a negative ROE included?

DB2

Yes. Maybe you have a reversion to mean going on.

ok, I get it now. You want the lowest price, and the lowest roe companies?

It is so counter intuitive.

So currently the ten S&P500 companies with the smallest market caps are VNO, PVH, PENN, LNC, NWL, LUMN, ALK, GNRC, DXC and MHK.

The five lowest ROEs would be:
LNC -17%
ALK 1%
MHK 2%
VNO 2%
PENN 6%

DB2

2 Likes

Its actually not … You just have to look under the covers of the screen to understand what’s going on.

Additionally, the underlying concept has been discussed in some shape or form in this board.
(1) Zee’s post on what to hold or what outperforms from bottom of bear markets ( at least in the short term) - You hold the best MI SHORT SCREENS … ie the bottom feeding cr*p!

A lot of that has to do with (a) Short Covering (b) Market’s repricing of bankruptcy/dissolution risk of this lot

OF COURSE : Knowing the exact bottom of a Bear is difficult …even for Zee :slight_smile: … IIRC the last post on this topic was the COVID bottom - but most of the signals ( his/Jim’s too) initially went off around the 3/9-3/10 period — and those stocks ie screens dropped like 40-50% in between to 3/23. ie You lose 1/2 of your capital in 2 weeks… Not exactly for the FAINT HEARTED! In 20/20 hindsight- they were great buys because some of those stocks more than doubled ( you need the double to break even unfortunately if your timing was awry)

(2) Piotroski: Also made all the more infamous by AAII ( their purported returns are BS … mostly due to survival bias based on what I recall).
But that’s like a seminal investing paper and a great contrarian concept.

COMING BACK TO THIS SCREEN : Also NOT for the FAINT OF HEART!. It kinda does manage the BK risk by screening from the S&P 500 … but the volatility!

Here’s a comparison ( I added BCC to it … the reason should be obvious). The screen has an MDD of -80% with some picks going to -93% - coming out of those kind of drawdowns needs some serious bouncebacks! Adding BCC makes it slightly lower to -58% but its still above 50 ie if your TIMING OF ENTRY IS WRONG - you need a 2x just to break even.

NET MSG; The Screen performance has and will likely work in pairs ie a Growth/Economic scare with rising Credit risk - which impact these kinds of firms adversely ie Q of Survival. And then once the environment clears - the potential survivors have face ripping rallies.

Musselmant Original since 1997 ( per GTR1) Avg Min Max With BCC Avg Min Max
CAGR: 18.7 4.8 29.9 CAGR: 19.7 9.3 28.0
SAWR(20; 0.95): 9.0 2.3 15.1 SAWR(20; 0.95): 8.8 4.8 12.4
LDDD3: 22.1 17.2 29.0 LDDD3: 16.8 14.3 19.2
MDD: -80.1 -93.3 -66.9 MDD: -57.8 -72.9 -51.9
UI(20): 24.6 19.6 34.0 UI(20): 22.0 18.0 29.1
Total Return for Year Ending: Total Return for Year Ending:
19971231 -20.9 -28.6 4.7 19971231 -20.9 -28.6 4.7
19981231 47.3 -11.0 127.5 19981231 47.3 -11.0 127.5
19991231 6.8 -28.4 54.0 19991231 6.8 -28.4 54.0
20001229 -2.9 -43.1 39.4 20001229 -2.9 -43.1 39.4
20011231 48.9 -15.7 139.3 20011231 88.8 36.6 217.5
20021231 -38.3 -71.4 24.3 20021231 -22.4 -38.5 28.3
20031231 176.0 123.9 239.6 20031231 176.8 128.3 230.1
20041231 65.8 11.0 107.1 20041231 65.8 11.0 107.1
20051230 -25.2 -38.5 20.3 20051230 -25.2 -38.5 20.3
20061229 19.1 6.6 31.9 20061229 19.1 6.6 31.9
20071231 -8.7 -22.2 -1.7 20071231 -8.7 -22.2 -1.7
20081231 -42.6 -60.8 -4.9 20081231 -11.7 -13.6 -3.8
20091231 337.9 72.2 747.2 20091231 156.9 17.9 357.4
20101231 60.4 33.4 85.9 20101231 60.4 33.4 85.9
20111230 -27.9 -40.6 -3.0 20111230 -26.8 -37.7 -13.1
20121231 81.6 46.9 114.8 20121231 76.0 40.3 115.7
20131231 89.9 62.6 131.7 20131231 89.9 62.6 131.7
20141231 13.2 -0.7 33.4 20141231 13.2 -0.7 33.4
20151231 -26.7 -44.6 -8.8 20151231 -31.4 -46.1 -15.6
20161230 72.4 16.8 109.4 20161230 30.9 10.2 49.1
20171229 2.7 -23.8 25.7 20171229 2.7 -23.8 25.7
20181231 8.1 -8.7 23.4 20181231 8.1 -8.7 23.4
20191231 28.4 16.2 51.5 20191231 28.4 16.2 51.5
20201231 -0.3 -26.9 85.9 20201231 -0.3 -26.9 85.9
20211231 44.3 30.0 64.9 20211231 44.3 30.0 64.9
20221209 -10.7 -33.6 10.7 20221209 -4.1 -22.4 20.9

With BCC
https://gtr1.net/2013/?!!QlpoMTFBWSZTWZngs8MAAvDfgFAAIgd!2F8D7H2qA!2F79!2FhQAKoOTDK2CSQmUzUntJMg0aAAyaDanppAJEKaNQKep4pk09BPJMTQaNNNGmhhoaAAADQAAAAAkkJoanlRsk9QNNDJpoDTTQNHqSuatrvE2enDud0!2BGA!2FWr2wL9sXidGpQ3xGLzIn!2FjKASeMQbOG3csB6fce3GKiIIhMOolEKZYSuqxxKNg24iGuwzQaqWSCIXAbJGWhZ8!2BjExRhoCIMiwY6OIW6w1hrCQsGTMoupovOaTktUvAsSSpTXAP4jUjZibntwn3lQTGTemLtpL2EGbr0ytRkbSZ1BUCdFy7GmMzwggadNXGMjOgv62Bw1uryPfpRELREyQVAy2bBUeZw4MEEIFWl93RFTPTqqU4oiwPMqRe8Ln8bww4gRMSFIFztApH3sSbQqBpXtODe7ACw0vJWR3!2FDhvvDwp05FUn05unm333!2FHjvmnncFR5zDZiUZUhQpZHslVuQctRJv5vlG0pfeMMM4W5LKvdTK1HUzMww2EkeJgIKYheitZQ6cr08KIx2SUoyZzOavRCEFicHj!2BClqD1XPgfALqjialZbuA36zfJKf2BOtxAB2OKmUAyGf9xpYTQUjlnDqyAY2OejA22BcEpTqDMjzxlATkBo34Kv9IhRVBZuQ!2BhAi7aIYtKmYLQLEsbzlW5b4vK9SaUhwzLoroi4elceGk0BMtcBY4xyK0Dm6JJT5ajkUy!2FXYGpYe7IxKImsqtHaQ5FBk2YYBjnTETQB0juOpDWGY7ayMi7WyanswIRVHQQM0mNzhrdRtcQTCcPvTATtRXpelsWkKi6Tks6NfEGau00HXY3!2BLuSKcKEhM8Fnhg

5 Likes

The screen isn’t looking for lowest market cap. It’s looking for lowest share price.

Elan

2 Likes

From Schwab screener, current picks would be:

Symbol	Description             	Index	Price	Return on Equity (TTM)
CCL 	Carnival Corp           	S&P 500	$8.87 	-61.23%
WBD 	Warner Bros Discovery Inc	S&P 500	$11.09 	-17.55%
VTRS	Viatris Inc             	S&P 500	$10.78 	3.99%
HBAN	Huntington Bancshares Inc	S&P 500	$14.55 	11.71%
DISH	DISH Network Corp       	S&P 500	$14.74 	12.02%
				
NWL 	Newell Brands Inc       	S&P 500	$13.44 	14.43%
LUMN	Lumen Technologies Inc  	S&P 500	$5.49 	17.08%
AMCR	Amcor PLC               	S&P 500	$12.37 	19.37%
F   	Ford Motor Co           	S&P 500	$13.18 	22.90%
AAL 	American Airlines Group Inc	S&P 500	$13.53 	--

Correct?

JRB

3 Likes

Thanks for pointing that out.

DB2

I suggest we call it the Dead Cat screen.

8 Likes

And instead of low ROE bottom 5 as last step, use low sq2sd.s [SI Qtrly Surprise-Prior Qtr-Std. Dev.] :
20081208 to 20221214
cagr 32.4% monrhly 29.1 with timing
cagr 27.5% quarterly 27.8 with timing
https://gtr1.net/2013/?!!QlpoMTFBWSZTWUWEuPwAABRZgEAAAgF7cD9FegAgAFRQAABkyCKfqR6jGpmoHlPRrc5Eo7BVFD5!2BRCe7m1CV4ZltJhG6P7XEFPE7DVsvRX4u5IpwoSCLCXH4

4 Likes