Subject: Re: standard SIP screen postmortem
Outstanding analysis! Thank you lizgdal! Reflecting the general relative weakness of smallcaps over the last several years as the dominance of the Magnificent 7 has increased and taken over.

Brings to mind the tag line from Talladega Nights: "if you ain't first, you're last!"

Stats 101:

Median  Median  STDEV   STDEV
pre-10	post-10	pre-10  post-10
21%	-1%	15.0%	8.9%	excess_return
				
33%	9%	26.2%	17.9%	avg_51_SIP_screens
15%	15%	18.9%	15.7%	S&P_1500_eq_wgt

* Huge drop in median excess return of screens
* Huge drop in median return of screens
* 30-40% less volatility combined with the above means less chance of an outperforming outlier screen

Yeesh.

FC