Subject: Re: 135% return on mungofitch's "esoteric op
"There are some firms that I find odious ..."

Well it would be very fun to hear which firms those are. And whether, by excluding them, your results improve or not.

The first obvious one that comes to mind is MO/PM and other tobacco companies. 2nd would be casino/gambling companies.

PM + MO is currently 0.54% weight in SPY. You could create a portfolio without those by negative weight (i.e., short) them and add that much to SPY weight.

Backtest: https://testfol.io/?s=adcs9RA6...

The difference with or without excluding them in SPY is negligible.