*** 6. Sector, ADR, IPO, Foreign screens ***

There is good agreement between GTR1 and P123 for most of these screens (similar CAGR and high CorMER). CAGR for these screens over the 10-year backtest:

Screen   GTR1   P123   diff   CorMER
Staples  5.5%   5.4%   0.0%    0.72
Foreign  9.8%   16.0%  6.2%    0.73
 Utils   11.8%  12.4%  0.6%    0.93
  IPO    5.8%   4.5%   -1.4%   0.94
  Tech   13.9%  16.1%  2.2%    0.98
Finance  9.8%   10.9%  1.2%    0.98
Health   6.1%   7.9%   1.8%    0.99
  ADR    9.6%   9.8%   0.2%    0.99
  REIT   5.0%   5.0%   0.0%    1.00

There is poor agreement for the Staples sector screen and the Foreign screen, with low CorMER and very low Jaccard Index:

  size of:    REIT  ADR  Finance  IPO  Health  Utils  Tech  Foreign  Staples
    GTR1      162   203    599    108    323     87   440     376      98
    P123      161   214    675    93     414     69   397     102      168
 
intersection  151   193    537    83     300     58   275     89       48
    union     172   224    737    118    437     98   562     389      218
  Jaccard     88%   86%    73%    70%    69%    59%   49%     23%      22%

The Foreign screen only passes about 100 stocks in P123, while there are about 350 styp.a=12 stocks in GTR1. The definitions are different, and so I generally include foreign stocks in both GTR1 and P123.

The correlation matrix shows how CorMER does in comparing screens:

CorMER:   gFinance  pFinance  gHealth  pHealth  gStaples  pStaples  gTech  pTech  gUtils  pUtils
gFinance    1.00      0.98      0.05     0.02     0.19      0.11    0.12   0.10   -0.08   -0.12
pFinance    0.98      1.00      0.10     0.06     0.16      0.12    0.20   0.18   -0.14   -0.18
gHealth     0.05      0.10      1.00     0.99     0.20      0.35    0.62   0.58   -0.11   -0.05
pHealth     0.02      0.06      0.99     1.00     0.20      0.35    0.62   0.57   -0.09   -0.04
gStaples    0.19      0.16      0.20     0.20     1.00      0.72    0.06   0.05    0.13    0.08
pStaples    0.11      0.12      0.35     0.35     0.72      1.00    0.32   0.28    0.07    0.06
  gTech     0.12      0.20      0.62     0.62     0.06      0.32    1.00   0.98   -0.22   -0.19
  pTech     0.10      0.18      0.58     0.57     0.05      0.28    0.98   1.00   -0.26   -0.23
 gUtils     -0.08     -0.14    -0.11    -0.09     0.13      0.07    -0.22  -0.26   1.00    0.93
 pUtils     -0.12     -0.18    -0.05    -0.04     0.08      0.06    -0.19  -0.23   0.93    1.00

=== screen definitions ===

P123 {Foreign} is {Base} with
!Universe(PRIMARYUSA)

P123 {IPO}
Universe(ALLFUND)
!IsMLP & !IsOTC & !IsUnlisted & !IsADR
SecurityType = Common
Close(0) >= 1
AvgDailyTot(63) >= 1000 * 1000
SalesQ > 0
Close(0) * Max (SharesFDQ, SharesQ) >= 50
Close(63) > 0
Close(300) = NA

P123 {ADR} is {Base} with
IsADR

P123 {Finance} is {Base} with
[OFF] RBICS(NONCYCLICAL)
[OFF] RBICS(TECH)
[OFF] RBICS(UTIL)
[OFF] RBICS(HEALTHCARE)
RBICS(FINANCIAL) //2 digit

P123 {REIT} is {Base} with
RBICS(REIT) = 1 //6 digit

=== links ===
https://gtr1.net/2013/?~gADR:h19::styp.a:et30!31:a...
https://gtr1.net/2013/?~gIPO:h19::styp.a:et10!11!1...
https://gtr1.net/2013/?~gForeign:h19::styp.a:et12:...
https://gtr1.net/2013/?~gREIT:h19::styp.a:et18!48:...
https://gtr1.net/2013/?~gFinance:h19::styp.a:et10!...
https://gtr1.net/2013/?~gHealth:h19::styp.a:et10!1...
https://gtr1.net/2013/?~gStaples:h19::styp.a:et10!...
https://gtr1.net/2013/?~gTech:h19::styp.a:et10!11!...
https://gtr1.net/2013/?~gUtils:h19::styp.a:et10!11...

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