Subject: Re: Scatter of Dartboard Screen Results
2. A 5-year holding period was used to lower transaction costs. However, in the last year, on average, only 43 S&P 1500 stocks had 10-day average dollar volume less than $2,500,000 . Using 0% friction might be reasonable. So a different rationale is needed for the 5-year holding period. The holding period does not affect the scatter much, and so one can use whatever is convenient.
Randomly choosing a new portfolio every year doesn't affect CAGR much, and has little effect on scatter. Maybe something like:
S&P 1500 5-year rebalance: SDpop 41
S&P 1500 annual rebalance: SDpop 46
S&P 1500 monthly rebalance: SDpop 40
S&P 500 5-year rebalance: SDpop 33
S&P 500 annual rebalance: SDpop 31
S&P 500 monthly rebalance: SDpop 29
Depth needed to get a 1.5 SDcg over 10 years:
Depth = ((SDpop / SDcg)^2) / yrs
S&P 1500 5-year SDpop 41 => Depth 75 needed
S&P 1500 annual SDpop 46 => Depth 94 needed
S&P 1500 monthly SDpop 40 => Depth 71 needed
S&P 500 5-year SDpop 33 => Depth 48 needed
S&P 500 annual SDpop 31 => Depth 43 needed
S&P 500 monthly SDpop 29 => Depth 37 needed
To get a similar scatter, one could rebalance 75 S&P 1500 stocks every 5 years, or rebalance 40 S&P 500 stocks every year. The holding period (5-year, annual, or monthly) has little effect on the scatter.
Screen yrs Depth AT SDcg SDpop CAGR GSD From To settings
Dartboard75hash4quin 10 75 0 1.47 40 11 22 20130308 20230310 h253n5r5
Dartboard75hash4annual 10 75 1 1.62 44 11 23 20130308 20230310 h21n12r12
Dartboard75hash4monthly 10 75 11 1.41 38 10 24 20130308 20230310 h21
500Dartboard40hash2quin 10 40 0 1.31 26 11 19 20130308 20230310 h253n5r5
500Dartboard40hash2annual 10 40 1 1.25 25 11 20 20130308 20230310 h21n12r12
500Dartboard40hash2monthly 10 40 11 1.35 27 12 20 20130308 20230310 h21
Screen yrs Depth AT SDcg SDpop CAGR GSD From To settings
Dartboard75hash4quin 28 75 0 0.84 39 11 22 19941003 20230310 h253n5r5
Dartboard75hash4annual 28 75 1 1.08 50 12 23 19941003 20230310 h21n12r12
Dartboard75hash4monthly 28 75 11 0.90 42 11 24 19941003 20230310 h21
500Dartboard40hash2quin 28 40 0 0.93 31 11 20 19941003 20230310 h253n5r5
500Dartboard40hash2annual 28 40 1 0.99 33 11 21 19941003 20230310 h21n12r12
500Dartboard40hash2monthly 28 40 11 0.86 29 11 22 19941003 20230310 h21
A 1-year trading date interval was used. Shorter trading date intervals will hold less cash, and follow index changes more closely. The benefits are small, with almost identical CAGR and GSD using 1-month and 12-month trading date intervals. Trying to follow the index closely by trading monthly might lower CAGR slightly.
Screen CAGR SAWR GSD Sharpe AT From To setting yrs Depth SDcg SDpop
500Dartboard40hash1quin 12.1 8.0 19 0.51 0.3 19570301 20230310 h253n5r5 66 40 0.58 30
500Dartboard40hash1annual 12.1 7.8 19 0.50 0.9 19570301 20230310 h252 66 40 0.63 32
500Dartboard40hash1_12m 11.8 7.7 20 0.48 1.1 19570301 20230310 h21n12r12 66 40 0.69 36
quin uses h253n5r5 setting: rebalance and trade every 5 years.
annual uses h252 setting: rebalance and trade every 1 year.
12m uses h21n12r12 setting: trade monthly, rebalance annually, hold for at least 12 months.
https://gtr1.net/2013/?~500Dar...
https://gtr1.net/2013/?~500Dar...
https://gtr1.net/2013/?~500Dar...