Subject: Re: Variations on 52 wk momentum screen in Nasdaq100
Part 3 of 2
For comparison, just the equal weight Nasdaq 100 over the same periods.
Basically:
7.5% for 2000-01-03 to 2025-11-28 vs. QQQ at 8.2%
9.5% for 2002-01-03 to 2020-01-03 vs. QQQ at 10.3%
From 2000-01-03 to 2025-11-28
Top 100 by RS, do not time, rebalance monthly
https://gtr1.net/2013/?s200001...
7.4 7.1 7.3 7.3 7.4 7.5 7.5 7.3 7.3 7.4 7.5 7.7 7.8 7.6 7.6 7.5 7.5 7.3 7.3 7.2 7.2 7.1
28.4 28.2 28.2 28.2 28.3 28.3 28.2 28.5 28.4 28.4 28.5 28.6 28.5 28.4 28.4 28.4 28.4 28.4 28.3 28.4 28.4 28.3
0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7 0.7
Rebalance quarterly
https://gtr1.net/2013/?s200001...
7.0 7.0 7.0 7.0 7.0 7.0 7.1 7.0 7.0 7.0 6.9 7.0 7.0 7.0 7.1 7.1 7.2 7.1 7.1 7.1 7.1 6.9
27.7 27.6 27.6 27.6 27.6 27.6 27.6 27.8 27.7 27.6 27.6 27.6 27.7 27.7 27.8 27.8 27.8 27.8 27.8 27.9 27.8 27.8
0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5
Rebalance annually
https://gtr1.net/2013/?s200001...
7.5 7.4 7.4 7.4 7.5 7.6 7.5 7.4 7.5 7.6 7.5 7.6 7.6 7.5 7.5 7.6 7.7 7.6 7.7 7.7 7.6 7.5
26.4 26.1 26.1 26.2 26.1 26.1 26.1 26.3 26.3 26.3 26.3 26.4 26.4 26.4 26.5 26.6 26.6 26.6 26.7 26.7 26.6 26.6
0.3 0.4 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.3 0.4 0.4 0.4 0.4
*****************************************
From 2002-01-03 to 2020-01-03
Top 100 by RS, do not time, rebalance monthly
https://gtr1.net/2013/?s200201...
9.2 9.1 9.2 9.2 9.2 9.3 9.3 9.1 9.2 9.2 9.3 9.5 9.4 9.4 9.3 9.2 9.3 9.1 9.1 9.1 9.1 9.1
23.8 23.8 23.7 23.7 23.7 23.7 23.7 23.9 23.9 23.9 23.9 23.9 24.0 23.9 23.9 23.9 23.8 23.9 23.9 24.0 23.9 23.9
0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6
Rebalance quarterly
https://gtr1.net/2013/?s200201...
9.0 8.9 9.0 9.0 8.9 9.0 9.0 8.9 8.9 8.9 8.9 9.1 9.1 9.1 9.1 9.1 9.2 9.0 9.2 9.2 9.2 9.1
23.6 23.6 23.4 23.4 23.4 23.5 23.4 23.6 23.6 23.5 23.6 23.6 23.6 23.6 23.7 23.6 23.6 23.6 23.6 23.6 23.5 23.6
0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5
Rebalance annually
https://gtr1.net/2013/?s200201...
9.5 9.3 9.4 9.4 9.4 9.4 9.5 9.4 9.5 9.5 9.5 9.6 9.6 9.5 9.5 9.5 9.7 9.6 9.8 9.8 9.6 9.7
22.6 22.5 22.4 22.5 22.5 22.4 22.5 22.6 22.6 22.6 22.6 22.6 22.6 22.6 22.6 22.7 22.6 22.7 22.8 22.8 22.8 22.9
0.3 0.4 0.3 0.3 0.3 0.3 0.3 0.3 0.4 0.3 0.4 0.4 0.3 0.3 0.3 0.3 0.3 0.4 0.4 0.4 0.4 0.4