Subject: Re: Portfolio123 Testing 2026
*** 6. Sector, ADR, IPO, Foreign screens ***
There is good agreement between GTR1 and P123 for most of these screens (similar CAGR and high CorMER). CAGR for these screens over the 10-year backtest:
Screen GTR1 P123 diff CorMER
Staples 5.5% 5.4% 0.0% 0.72
Foreign 9.8% 16.0% 6.2% 0.73
Utils 11.8% 12.4% 0.6% 0.93
IPO 5.8% 4.5% -1.4% 0.94
Tech 13.9% 16.1% 2.2% 0.98
Finance 9.8% 10.9% 1.2% 0.98
Health 6.1% 7.9% 1.8% 0.99
ADR 9.6% 9.8% 0.2% 0.99
REIT 5.0% 5.0% 0.0% 1.00
There is poor agreement for the Staples sector screen and the Foreign screen, with low CorMER and very low Jaccard Index:
size of: REIT ADR Finance IPO Health Utils Tech Foreign Staples
GTR1 162 203 599 108 323 87 440 376 98
P123 161 214 675 93 414 69 397 102 168
intersection 151 193 537 83 300 58 275 89 48
union 172 224 737 118 437 98 562 389 218
Jaccard 88% 86% 73% 70% 69% 59% 49% 23% 22%
The Foreign screen only passes about 100 stocks in P123, while there are about 350 styp.a=12 stocks in GTR1. The definitions are different, and so I generally include foreign stocks in both GTR1 and P123.
The correlation matrix shows how CorMER does in comparing screens:
CorMER: gFinance pFinance gHealth pHealth gStaples pStaples gTech pTech gUtils pUtils
gFinance 1.00 0.98 0.05 0.02 0.19 0.11 0.12 0.10 -0.08 -0.12
pFinance 0.98 1.00 0.10 0.06 0.16 0.12 0.20 0.18 -0.14 -0.18
gHealth 0.05 0.10 1.00 0.99 0.20 0.35 0.62 0.58 -0.11 -0.05
pHealth 0.02 0.06 0.99 1.00 0.20 0.35 0.62 0.57 -0.09 -0.04
gStaples 0.19 0.16 0.20 0.20 1.00 0.72 0.06 0.05 0.13 0.08
pStaples 0.11 0.12 0.35 0.35 0.72 1.00 0.32 0.28 0.07 0.06
gTech 0.12 0.20 0.62 0.62 0.06 0.32 1.00 0.98 -0.22 -0.19
pTech 0.10 0.18 0.58 0.57 0.05 0.28 0.98 1.00 -0.26 -0.23
gUtils -0.08 -0.14 -0.11 -0.09 0.13 0.07 -0.22 -0.26 1.00 0.93
pUtils -0.12 -0.18 -0.05 -0.04 0.08 0.06 -0.19 -0.23 0.93 1.00
=== screen definitions ===
P123 {Foreign} is {Base} with
!Universe(PRIMARYUSA)
P123 {IPO}
Universe(ALLFUND)
!IsMLP & !IsOTC & !IsUnlisted & !IsADR
SecurityType = Common
Close(0) >= 1
AvgDailyTot(63) >= 1000 * 1000
SalesQ > 0
Close(0) * Max (SharesFDQ, SharesQ) >= 50
Close(63) > 0
Close(300) = NA
P123 {ADR} is {Base} with
IsADR
P123 {Finance} is {Base} with
[OFF] RBICS(NONCYCLICAL)
[OFF] RBICS(TECH)
[OFF] RBICS(UTIL)
[OFF] RBICS(HEALTHCARE)
RBICS(FINANCIAL) //2 digit
P123 {REIT} is {Base} with
RBICS(REIT) = 1 //6 digit
=== links ===
https://gtr1.net/2013/?~gADR:h...
https://gtr1.net/2013/?~gIPO:h...
https://gtr1.net/2013/?~gForei...
https://gtr1.net/2013/?~gREIT:...
https://gtr1.net/2013/?~gFinan...
https://gtr1.net/2013/?~gHealt...
https://gtr1.net/2013/?~gStapl...
https://gtr1.net/2013/?~gTech:...
https://gtr1.net/2013/?~gUtils...