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geov
Re: How can you tell if an approach or a tilt index provides alpha?

Here is the performance over the same period of 20 stocks from Fidelity Founders Fund FIFNX with P123 Core Sentiment ranking system.
Much better performance.

Attachment FIFNX.png (205862 bytes) (Download count: 59)


Jan 11, 2022 3:10:08 PM       
Edit 1 times, last edit by geov at Jan 11, 2022 3:11:28 PM
Whycliffes
Re: How can you tell if an approach or a tilt index provides alpha?

Here's another fund that takes the same approach, but with a higher proportion of midcap stocks and 450 companies: https://docoh.com/fund/S000067868/frc-founders-index-fund / holdings-history

https://funddocs.filepoint.live/firstrepublic/foundersindex/

Jan 11, 2022 10:24:10 PM       
Chipper6
Re: How can you tell if an approach or a tilt index provides alpha?

Azouz, nice work! Can you make your universe public?

Jan 12, 2022 11:09:34 AM       
azouz110
Re: How can you tell if an approach or a tilt index provides alpha?

Done. The universe is based on a custom stock factor.
Attached the file I used to import data for that stock factor.

Attachment StockFactor_ETF_BOSS.csv (25262 bytes) (Download count: 9)


Jan 13, 2022 7:58:56 PM       
Chipper6
Re: How can you tell if an approach or a tilt index provides alpha?

Thanks!

Jan 15, 2022 11:20:18 PM       
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