Post #3052 by rayvt on the Mechanical Investing board

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Investment Strategies / Mechanical Investing

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No. of Recommendations: 11

Here is a backtest of the screen which buys the top 20 stocks of the S&P 500 and holds for one year. VFINX is the S&P 500 index fund. BRK is also shown for comparison.

In all three time periods, this screen beat the S&P500.

Starting with $1000 on Jan 1 of start year thru Dec 31 of end year.

          1990      thru      2024
          Top 20    VFINX     BRK-A
CAGR      12.8%     10.6%     13.3%
Final     $67,476   $33,748   $78,492
Max DD    -36%      -38%      -32%
Sortino   1.08      0.80      1.16


          1990      thru      2006
          Top 20    VFINX     BRK-A
CAGR      14.6%     10.9%     16.1%
Final     $10,217   $5,834    $12,679
Max DD    -29%      -38%      -23%
Sortino   0.59      0.28      0.53


          2007      thru      2024
          Top 20    VFINX     BRK-A
CAGR      11.1%     10.2%     10.7%
Final     $6,604    $5,784    $6,191
Max DD    -36%      -37%      -32%
Sortino   0.23      0.20      0.26

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