No. of Recommendations: 6
*** 5. Replicate indexes: RSP, EWRS, QQQE ***
There is good agreement between GTR1 and P123 for these screens, with the CAGRs close, and CorMER near 1.
Screen GTR1 P123 diff CorMER
SP500ew 12.0% 12.0% 0.0% 0.64
SP1500ew 11.3% 11.4% 0.2% 0.99
RS2000ew 9.0% 9.5% 0.5% 1.00
NasBig100 13.9% 12.3% -1.6% 0.94
(RSP is used as the benchmark when calculating CorMER, and this lowers CorMER for SP500ew.)
=== screen definitions ===
P123 {SP500ew}
Universe(SP500)
Rebalance every 13 weeks, 0% Slippage, Equal weight
P123 {SP1500ew}
Universe(SP1500)
Rebalance every 13 weeks, 0% Slippage, Equal weight
P123 {RS2000ew}
Universe(ALLFUND)
!IsOTC & !IsUnlisted & !IsMLP & !IsADR
SecurityType = Common
MktCap >= 0
SetVar(@nMktCap,FOrder("MktCap", #Previous, #DESC, false, #ExclNA))
@nMktCap <= 3000 // return the biggest stocks
@nMktCap > 1000
13 week rebalance, 0% Slippage, Equal weight
P123 {NasBig100}
Universe(ALLFUND)
ExchangeCode = 14 //NASDAQ
RBICS(REIT) = 0
FOrder("MktCap", #Previous) <= 100
13 week rebalance, 0% Slippage, Equal weight
=== links ===
https://gtr1.net/2013/?~gSP500ew:h63::sp500.a:et1https://gtr1.net/2013/?~gRS2000ew:h63::styp.a:et10...https://gtr1.net/2013/?~gSP1500ew:h63::sp1500.a:et...https://gtr1.net/2013/?~gNasBig100:h63::styp.a:et1... 