# New screen doubles S&P CAGR **URL:** \ **Category:** Mechanical Investing\ **Created:** [December 9, 2022, 7:16pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750 "2022-12-09T19:16:14Z")\ **Posts on this page:** 20\ **Page:** 1
**Author:** ![musselmant](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/musselmant/32/1504_2.png) [@musselmant](https://discussion.fool.com/u/musselmant)\ **Post date:** [December 9, 2022, 7:16pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/1 "2022-12-09T19:16:14Z")
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](https://gtr1.net/2013/?s20071231h63f0.20000::sp500.a:nenull:aprc%281%29bn10:roey1.s:bn5) ---
**Author:** ![johnIII](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/johniii/32/3949_2.png) [@johnIII](https://discussion.fool.com/u/johnIII)\ **Post date:** [December 10, 2022, 3:37am UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/2 "2022-12-10T03:37:22Z")
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? ---
**Author:** ![johnIII](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/johniii/32/3949_2.png) [@johnIII](https://discussion.fool.com/u/johnIII)\ **Post date:** [December 10, 2022, 3:39am UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/3 "2022-12-10T03:39:04Z")
I found this on Datahelper: [http://www.datahelper.com/mi/search.phtml?nofool=youBet&mid=31107851](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? ---
**Author:** ![FlyingCircus](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/flyingcircus/32/3941_2.png) [@FlyingCircus](https://discussion.fool.com/u/FlyingCircus)\ **Post date:** [December 10, 2022, 3:57am UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/4 "2022-12-10T03:57:43Z")
> [@johnIII](#): > > [Message: MI Board Search](http://www.datahelper.com/mi/search.phtml?nofool=youBet&mid=31107851) 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). ---
**Author:** ![musselmant](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/musselmant/32/1504_2.png) [@musselmant](https://discussion.fool.com/u/musselmant)\ **Post date:** [December 10, 2022, 3:59am UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/5 "2022-12-10T03:59:22Z")
nas100.a = 1 for nasdaq100 ---
**Author:** ![tedthedog](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/tedthedog/32/4582_2.png) [@tedthedog](https://discussion.fool.com/u/tedthedog)\ **Post date:** [December 10, 2022, 12:18pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/6 "2022-12-10T12:18:55Z")
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 ---
**Author:** ![bacon](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/bacon/32/3673_2.png) [@bacon](https://discussion.fool.com/u/bacon)\ **Post date:** [December 10, 2022, 1:39pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/7 "2022-12-10T13:39:14Z")
Any chance this can be added to the list of screens that’s published weekly? Eric Hines ---
**Author:** ![mark19601962](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/mark19601962/32/3370_2.png) [@mark19601962](https://discussion.fool.com/u/mark19601962)\ **Post date:** [December 11, 2022, 2:33am UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/8 "2022-12-11T02:33:42Z")
I am not clear what the screening criteria are. lowest price, and lowest roe? Wouldn’t a negative roe be the lowest? ---
**Author:** ![musselmant](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/musselmant/32/1504_2.png) [@musselmant](https://discussion.fool.com/u/musselmant)\ **Post date:** [December 11, 2022, 3:45am UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/9 "2022-12-11T03:45:50Z")
One might think so but backtesting shows the opposite. ---
**Author:** ![DrBob2](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/drbob2/32/3456_2.png) [@DrBob2](https://discussion.fool.com/u/DrBob2)\ **Post date:** [December 11, 2022, 11:04am UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/10 "2022-12-11T11:04:10Z")
> [@mark19601962](#): > > I am not clear what the screening criteria are. lowest price, and lowest roe? Wouldn’t a negative roe be the lowest? Are companies with a negative ROE included? DB2 ---
**Author:** ![musselmant](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/musselmant/32/1504_2.png) [@musselmant](https://discussion.fool.com/u/musselmant)\ **Post date:** [December 11, 2022, 2:47pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/11 "2022-12-11T14:47:25Z")
Yes. Maybe you have a reversion to mean going on. ---
**Author:** ![mark19601962](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/mark19601962/32/3370_2.png) [@mark19601962](https://discussion.fool.com/u/mark19601962)\ **Post date:** [December 11, 2022, 11:45pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/12 "2022-12-11T23:45:54Z")
ok, I get it now. You want the lowest price, and the lowest roe companies? ---
**Author:** ![mark19601962](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/mark19601962/32/3370_2.png) [@mark19601962](https://discussion.fool.com/u/mark19601962)\ **Post date:** [December 11, 2022, 11:59pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/13 "2022-12-11T23:59:57Z")
It is so counter intuitive. ---
**Author:** ![DrBob2](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/drbob2/32/3456_2.png) [@DrBob2](https://discussion.fool.com/u/DrBob2)\ **Post date:** [December 12, 2022, 2:54am UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/14 "2022-12-12T02:54:09Z")
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 ---
**Author:** ![anchak](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/anchak/32/1415_2.png) [@anchak](https://discussion.fool.com/u/anchak)\ **Post date:** [December 12, 2022, 3:13pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/15 "2022-12-12T15:13:11Z")
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 | With BCC [https://gtr1.net/2013/?!!QlpoMTFBWSZTWZngs8MAAvDfgFAAIgd!2F8D7H2qA!2F79!2FhQAKoOTDK2CSQmUzUntJMg0aAAyaDanppAJEKaNQKep4pk09BPJMTQaNNNGmhhoaAAADQAAAAAkkJoanlRsk9QNNDJpoDTTQNHqSuatrvE2enDud0!2BGA!2FWr2wL9sXidGpQ3xGLzIn!2FjKASeMQbOG3csB6fce3GKiIIhMOolEKZYSuqxxKNg24iGuwzQaqWSCIXAbJGWhZ8!2BjExRhoCIMiwY6OIW6w1hrCQsGTMoupovOaTktUvAsSSpTXAP4jUjZibntwn3lQTGTemLtpL2EGbr0ytRkbSZ1BUCdFy7GmMzwggadNXGMjOgv62Bw1uryPfpRELREyQVAy2bBUeZw4MEEIFWl93RFTPTqqU4oiwPMqRe8Ln8bww4gRMSFIFztApH3sSbQqBpXtODe7ACw0vJWR3!2FDhvvDwp05FUn05unm333!2FHjvmnncFR5zDZiUZUhQpZHslVuQctRJv5vlG0pfeMMM4W5LKvdTK1HUzMww2EkeJgIKYheitZQ6cr08KIx2SUoyZzOavRCEFicHj!2BClqD1XPgfALqjialZbuA36zfJKf2BOtxAB2OKmUAyGf9xpYTQUjlnDqyAY2OejA22BcEpTqDMjzxlATkBo34Kv9IhRVBZuQ!2BhAi7aIYtKmYLQLEsbzlW5b4vK9SaUhwzLoroi4elceGk0BMtcBY4xyK0Dm6JJT5ajkUy!2FXYGpYe7IxKImsqtHaQ5FBk2YYBjnTETQB0juOpDWGY7ayMi7WyanswIRVHQQM0mNzhrdRtcQTCcPvTATtRXpelsWkKi6Tks6NfEGau00HXY3!2BLuSKcKEhM8Fnhg](https://gtr1.net/2013/?!!QlpoMTFBWSZTWZngs8MAAvDfgFAAIgd!2F8D7H2qA!2F79!2FhQAKoOTDK2CSQmUzUntJMg0aAAyaDanppAJEKaNQKep4pk09BPJMTQaNNNGmhhoaAAADQAAAAAkkJoanlRsk9QNNDJpoDTTQNHqSuatrvE2enDud0!2BGA!2FWr2wL9sXidGpQ3xGLzIn!2FjKASeMQbOG3csB6fce3GKiIIhMOolEKZYSuqxxKNg24iGuwzQaqWSCIXAbJGWhZ8!2BjExRhoCIMiwY6OIW6w1hrCQsGTMoupovOaTktUvAsSSpTXAP4jUjZibntwn3lQTGTemLtpL2EGbr0ytRkbSZ1BUCdFy7GmMzwggadNXGMjOgv62Bw1uryPfpRELREyQVAy2bBUeZw4MEEIFWl93RFTPTqqU4oiwPMqRe8Ln8bww4gRMSFIFztApH3sSbQqBpXtODe7ACw0vJWR3!2FDhvvDwp05FUn05unm333!2FHjvmnncFR5zDZiUZUhQpZHslVuQctRJv5vlG0pfeMMM4W5LKvdTK1HUzMww2EkeJgIKYheitZQ6cr08KIx2SUoyZzOavRCEFicHj!2BClqD1XPgfALqjialZbuA36zfJKf2BOtxAB2OKmUAyGf9xpYTQUjlnDqyAY2OejA22BcEpTqDMjzxlATkBo34Kv9IhRVBZuQ!2BhAi7aIYtKmYLQLEsbzlW5b4vK9SaUhwzLoroi4elceGk0BMtcBY4xyK0Dm6JJT5ajkUy!2FXYGpYe7IxKImsqtHaQ5FBk2YYBjnTETQB0juOpDWGY7ayMi7WyanswIRVHQQM0mNzhrdRtcQTCcPvTATtRXpelsWkKi6Tks6NfEGau00HXY3!2BLuSKcKEhM8Fnhg) ---
**Author:** ![elann](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/elann/32/3929_2.png) [@elann](https://discussion.fool.com/u/elann)\ **Post date:** [December 12, 2022, 5:01pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/16 "2022-12-12T17:01:41Z")
> [@DrBob2](#): > > 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 The screen isn’t looking for lowest market cap. It’s looking for lowest share price. Elan ---
**Author:** ![Rabelais](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/rabelais/32/1452_2.png) [@Rabelais](https://discussion.fool.com/u/Rabelais)\ **Post date:** [December 12, 2022, 5:29pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/17 "2022-12-12T17:29:37Z")
From Schwab screener, current picks would be: ```auto 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 ---
**Author:** ![DrBob2](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/drbob2/32/3456_2.png) [@DrBob2](https://discussion.fool.com/u/DrBob2)\ **Post date:** [December 13, 2022, 2:48am UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/18 "2022-12-13T02:48:43Z")
> [@elann](#): > > The screen isn’t looking for lowest market cap. It’s looking for lowest share price. Thanks for pointing that out. DB2 ---
**Author:** ![elann](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/elann/32/3929_2.png) [@elann](https://discussion.fool.com/u/elann)\ **Post date:** [December 13, 2022, 5:12pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/19 "2022-12-13T17:12:57Z")
I suggest we call it the Dead Cat screen. ---
**Author:** ![musselmant](https://sea2.discourse-cdn.com/motleyfoolfree/user_avatar/discussion.fool.com/musselmant/32/1504_2.png) [@musselmant](https://discussion.fool.com/u/musselmant)\ **Post date:** [December 14, 2022, 11:49pm UTC](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750/20 "2022-12-14T23:49:32Z")
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](https://gtr1.net/2013/?!!QlpoMTFBWSZTWUWEuPwAABRZgEAAAgF7cD9FegAgAFRQAABkyCKfqR6jGpmoHlPRrc5Eo7BVFD5!2BRCe7m1CV4ZltJhG6P7XEFPE7DVsvRX4u5IpwoSCLCXH4) [Next page](https://discussion.fool.com/t/new-screen-doubles-s-p-cagr/83750.md?page=2)