No. of Recommendations: 5
Lizgdal - phenomenal spreadsheet and effort you've put into this! Well done!
I like the "forward excess return" approach and the S&P1500 benchmark, seems to all make sense.
To generate the daily values per screen, which of the cycle (start date) columns from GTR1 did you pick, or did you just average all of the 20? In looking at a few 5-deep screens over the last 10 years, there's some significant variance in results across all daily starts (aware that your sheet is 10 deep).
I think I'll take a stab at a version generating a couple of different lookbacks (6 months, 3 months) and focused on trailing 10-15 years results only, under the theory that what was happening prior to 08, esp pre-2000 bubble, has little relevance to current era.
Of note to your point about post-08 relative returns: in the 10 years 10-19, smallcaps lost to largecaps 7 times. The last time they beat large caps was 2016, and the underperformance has gotten worse the last 5 years.
Not to say a smallcap focused screen could beat the benchmark and beat largecaps, making it worth using, but with that kind of money tide flowing against the class it's more difficult. Which is why digging into what factors may be driving the results of the few stars is interesting, at least to me.
