No. of Recommendations: 11
lizgdal wrote: "For comparison between GTR1 and P123, I plan on looking at the correlation of monthly excess returns (monthly return minus benchmark return). I will also compare CAGR across multiple screens. I expect P123 and GTR1 to match close enough for my purposes."
TGMark wrote: "I am interested to see what you find. For screens that are picking stocks, I tend to want to see pretty good agreement in which tickers are picked." I've finished my testing, and will post details in a separate thread (maybe in about a week). P123 and GTR1 match closely enough for my purposes. I mostly avoid nano caps (market cap < $50 million), and so did not do much testing on those. I found some implausible returns, but those are mostly avoided with the usual liquidity criteria (e.g. Price above 1).
The tickers are unlikely to match. I would expect about 50% agreement on average, with a range from 0% to 100% agreement. Even something as simple as Market Cap is difficult to match.
=== links ===
Important Update: Transition to FactSet Market Cap, Feb 6, 2026
https://community.portfolio123.com/t/important-upd...Author: borisnand
Subject: Comparing GTR1 picks and SI Rankings
Date: 6/1/2016
"Overall, there is good agreement between the Rankings and GTR1, with 56% Jaccard index on average."
Jaccard index = (number of picks common to both lists) / (number of picks in combined list)
or put another way:
Jaccard index = size of the intersection divided by the size of the union of the sample sets
https://yorickm.com/Message.php?pid=32264724Author: borisnand
Subject: Comparing GTR1 results and Weekly Trade Ledgers
Date: 6/1/2016
screen CAGR_L CAGR_G GSD Jaccard
Fried_500 17% 14 31 100%
OptiMan 7% 5 28 100%
Steady_Growth 3% 1 21 100%
Bob 15% 13 25 96%
P/SLove_You 11% 12 27 92%
PIH_Naked 11% 12 32 92%
CANSLIM-26 5% 4 21 90%
Gentle_Screamers 21% 22 26 82%
GS_Mungo 15% 9 22 82%
GS_Mungo_Voom 14% 8 22 82%
Microcap_Momentum 31% 17 43 79%
POG 8% 7 37 79%
Shrinkage 9% 11 26 79%
Turnarounds 4% 6 36 79%
Small_Value 12% 8 32 76%
FCF-26 13% 6 30 72%
Quality_Earnings 12% 10 32 72%
Melange 5% 10 36 67%
Net-Nets_Grahamified 22% 21 30 64%
POI 19% 18 37 61%
Silver_Parachute 11% 13 26 61%
Value_at_the_Top 12% 12 19 61%
ARS 7% 8 24 56%
GSX 13% 15 23 47%
GSX2 13% 19 24 43%
Zweig-26 1% -4 20 43%
S&P_Peg 3% 4 29 19%
Z26saTA -1% -2 22 18%
Up5X3 29% 23 32 15%
Low_Mult 21% 27 24 9%
78RPM 12% 14 34 4%
High_Relative_Value 25% 30 21 4%
Up_5% 12% 17 33 4%
WK_Voom 17% 20 26 0%
average 13% 12 28 60%
https://yorickm.com/Message.php?pid=32264753Author: rrjjgg
Subject: Re: GTR1 verification needed
Date: 3/19/2017
"I`ll just assume that [Microcap_Momentum] is too chaotic to be easily backtested and should be avoided."
https://yorickm.com/Message.php?pid=32642718
