Post #3722 by Aussi on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Same sharpe and beta as Nasdaq100 and S&P500 but 8% better CAGR than S&P and 4.7% better than Nasdaq100

Do I read it right, CAGR of 22%?

If so, hard to believe.

Looking at GTR1 and using QQQ, I get CAGR=20% so I would think 22% is quite believable.

http://gtr1.net/2013/?s20081208f0.10000::QQQ

Haven't we all achieved 20% since 2008?? (Sadly not me!! I thought I was smarter than QQQ)

I think the backtest is limited to a start date of December 2012 due to the availability of some of the fields.

Aussi

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