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marco

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Joined: Jan 1, 1970
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ALL P123 canned portfolio systems have been re-run using Compustat data

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In all most held up and have higher returns due to also the longer backtest period that starts in 1999.

Only change was in the MomVal ports where the buy rule

ROE%Q > ROE%PTM

was changed to

ROE%Q > ROE%TTM

after this discussion http://www.portfolio123.com/mvnforum/viewthread?thread=5433

Cheers
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Portfolio123 Staff
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[Edit 1 times, last edit by marco at Jul 17, 2012 7:29:39 PM]

[Jul 17, 2012 7:29:20 PM]

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marco

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Joined: Jan 1, 1970
Posts: 3993
Status: Offline

Re: ALL P123 canned portfolio systems have been re-run using Compustat data

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The Multi-Market model was also updated to use the GICS industry/sector taxonomy
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Portfolio123 Staff

[Jul 17, 2012 7:39:25 PM]

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