11/22/2023 0 Comments Maximum drawdown vym![]() ![]() The performance report for the period 1/2/00 to 6/30/17 is from Portfolio 123. The maximum drawdown was less than for benchmark SPDR S&P 500 ETF (SPY), the ETF tracking the S&P500, which can be attributed to the relatively better performance of Capital Strength type stocks during down market periods. An initial investment of $100 would have grown to $530. The Universe produced an annualized return of 10.0% with a -41.5% maximum drawdown. Performance from Jan-2000 to Jun-2017 is shown in Figure-1. Trading cost, including slippage, was taken as 0.05% of trade amounts, and share price was taken as the closing price for the day. The only trading activity comes from selling stocks which have fallen out of the Universe and buying stocks to replace them. Thus, stocks with long holding periods can have greater weights than others in the model. Performance 2000-2017įor the performance backtest the 20 stocks of the Universe were equally weighted initially, but never rebalanced to equal weight thereafter. The Universe is reconstituted weekly when new stocks are added to replace those which no longer meet the stock qualification criteria. The universe is then reduced to 20 stocks by sorting eligible companies according to the Sales percent change (recent Quarter vs Quarter 1 year ago), and Average Dividend Yield over the last 60 months. and have a Short Interest Ratio of 9 days or less.have a compound annual growth rate of Earnings per Share over the last 3 years greater than 2.5%.have a Return on Equity greater than 15%.have a Long Term Debt to Market-Cap ratio less than 30%.have at least $1-billion in Cash or $1.1-billion of Short Term Investments.after meeting criteria 1 and 2, be in the top 500 securities by Market Capitalization.have a Cost of Capital less than the Return on Capital.have a minimum three-month average daily dollar Trading Volume of $10-million.The stocks come from the Russell 1000 Index and must: The Capital Strength Index SM stock qualification criteria were modified to select stocks for the iM-Capital Strength Universe. The iM-Capital Strength 20-Stock Universe A comparison with Vanguard’s large-cap ETFs older than 10 years shows that for periods 1-year and longer the Universe would have produced higher returns than any of the five ETFs.A backtest, without any buy- and sell-rules, from Jan-2000 to end of Jun-2017 showed a 10.0% annualized return with a maximum drawdown of -41.5%.The Universe is reconstituted weekly, and consists of 20 large-cap stocks with Capital Strength type characteristics from the Russell 1000 Index.This Universe holds well capitalized companies with strong market positions, which pay good dividends, have price appreciation potential, and provide a degree of downside protection during bear markets. ![]()
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