No. of Recommendations: 6
One of the RevUp screens on GTR1 is Up5X3:
gtr1.net: GTR1 Backtester - Up5X3From 1997 till present CAGR is 18.8% with a SAWR of 10.3%, sounds nice but screens like this are very
Volitle.
Year Avg
20151231 -5.1
20161230 38.0
20171229 15.6
20181231 -7.2
20191231 9.9
20201231 1.9
20211231 52.5
20221230 -10.6
20231229 25.8
20241119 1.4
A similar Screen I used briefly several years ago over on P123 has similar results from 2002
CAGR 19.3%
Annual Turnover 483%
Year EstRev SPEW Excess
2015 9.17 -2.67 11.84
2016 15.54 14.51 1.04
2017 58.58 18.52 40.06
2018 -30.13 -7.84 -22.29
2019 42.25 28.91 13.35
2020 14.86 12.66 2.2
2021 36.32 29.41 6.91
2022 -26.44 -11.62 -14.82
2023 6.45 13.7 -7.25
2024** 33.57 16.06 17.52
A rough ride in 2018 and 2022.
A recent post being discussed on another form with some interesting observations about Earning Revisions and short term overreaction compared to long term fundamentals.
What's Driving Stocks - Praetorian Capital
pracap.com - Whats driving stocksA Quote from the article:
“Over the past two decades, quant shops have attracted a tremendous amount of assets — especially the pod shops that use many of these factors as the basis of their trading. There can be no denying that today there are way less fundamental-type managers. Heck, some traditional long-only funds even have quant screening applied to their list of securities they are able to purchase. These factors are increasingly driving portfolio construction.”
