Post #3071 by mapg on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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No. of Recommendations: 9

Here is a backtest of the screen which buys the top 20 stocks of the S&P 500 and holds for one year. VFINX is the S&P 500 index fund. BRK is also shown for comparison

Not sure the effort and time is worth it when ETF XLG top 50 only costs about 25 basis points. IT also has the better performance compared to indices with more holdings.

                                        XLG          EQWL         SPY          RSP          ITOT
Name                                    INVESCO      INVESCO      SPDR         INVESCO      ISHARES
Name                                    S&P 500      S&P 100      S&P 500      S&P 500      CORE S&P TOTAL
Name                                    TOP 50       EQL WGHT     ETF TRUST    EQL WGHT     US STOCK MARKET
 
Issue type                              ETF          ETF          ETF          ETF          ETF
Market price                                 $51.10      $106.64      $603.83      $181.36          $132.76
                                        Jan-28-2025  Jan-28-2025  Jan-28-2025  Jan-28-2025  Jan-28-2025
Market total return (1 year)                 33.49%       19.10%       24.89%       12.78%           23.80%
                                        Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024
Market total return (3 years)                11.77%        8.01%        8.85%        4.26%            7.94%
                                        Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024
Market total return (5 years)                17.78%       13.00%       14.47%       10.58%           13.79%
                                        Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024
Market total return (10 years)               15.21%       11.91%       13.01%       10.00%           12.53%
                                        Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024
Premium / discount (1 year avg.)              0.02%        0.04%        0.01%        0.00%            0.01%
                                        Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024
Beta (month-end 3 years)                       1.02         0.94            1            1             1.02
                                        Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024
Standard deviation (month-end 3 years)        18.44        17.05        17.37        18.54            17.89
                                        Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024
Sharpe ratio (month-end 3 years)               0.48         0.29         0.34         0.09             0.28
                                        Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024
Alpha (month-end 3 years)                      2.65         -0.6        -0.08        -4.23            -1.02
                                        Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024
R2 (month-end 3 years)                        92.87        91.85          100        87.08             99.3
                                        Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024  Dec-31-2024

GD_

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