There was a post in 2016 listing returns for {ROEPLOW} and {ROIC}...

FWIW, for the original VL versions in the 8 years since that post, ROEPLOW has been largely useless (market tracking or a small penalty), but ROIC has done very nicely.
ROIC has beat the S&P by around 3%/year, monthly at any depth from 5 to 25.

ROIC at depth 25 quarterly after trading costs, advantage 3.26%/year, beating the S&P in 85% of the rolling years.
GSD barely above the S&P if you care about such things (16.6 vs 16.0)


As an aside, never underestimate how much randomness there is in any backtest of only 5 or 10 stocks. This is the biggest issue by far on why so many screens have disappointed after they were created: we found the luckiest screens and variants and posted them. The roll-off in rolling 10 year performance is not uncorrelated with the fraction of each 10-year rolling period that was within the original lucky backtest window.

Jim

Mechanical Investing FAQ

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