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
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
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
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
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 
… 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 |
The screen isn’t looking for lowest market cap. It’s looking for lowest share price.
Elan
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
Thanks for pointing that out.
DB2
I suggest we call it the Dead Cat screen.
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