RBICS Sector Performance of the Russell1000

I ran screens for each of the RBICS Sectors and all stocks in the sector using PRussell1000 as universe.
The results are attached.

Healthcare performed best, followed by Consumer Non-Cyclicals.
Interestingly TECH did not perform well.

I designed a Dividend-Growth model selecting 10 stocks. I excluded Energy and Telecommunications because of poor sector performance. Sector Finance was also excluded because my simple quality ranking system does not like financial stocks. Originally the model was designed for the period Jan-2005 to Jun-2020, so the performance over the first 5 years is now out-of-sample.

The screen for the iM-Dividend Growth Portfolio shows an annualized return of 19% from Jan-2000 to Jun-2020. The simulation with variable slippage shows an annualized return of 21.5% and average dividend yield over last 10-years of 3.7% versus 2.2% for SPY. So this strategy should provide good income from dividends and growth from stock performance.

So the new FactSet data works well for me. I am very satisfied with the change of data vendor. Don’t understand why anybody would want to stay with Compustat.