Author: borisnand

Subject: Comparing GTR1 results and Weekly Trade Ledgers

Date: 6/1/2016

Recommendations: 20

I compared the Weekly Trade Ledgers to GTR1 backtester results to see what discrepancies could be observed. The comparison was limited to screens with 10 years of Ledgers results. VL overlaps and SOS are not included, and there are no short screens. There are results from 131 VL screens and 34 SIPro screens with depths of 3, 5 and 10. The Ledgers trade once a week at Monday close. If a screen only picks 7 stocks that week, the last three positions are filled with cash to get the ten stock screen. Trading costs are not included. In GTR1, this translates to hold 5 market days, no friction, no shrinkage (:h5i1f0::). (The Ledgers traded at Friday close until October 16, 2006. After that the trades were at Monday close.) GTR1 results are the average of five portfolios, each of which trades every 5 market days. None of these will perfectly line up with the Ledgers trade dates. CAGR_L is the Weekly Ledgers from Friday 26-May-2006 to Monday 30-May-2016. CAGR_G and the other columns are GTR1 from 20060526 to 20160527 (markets were closed on 20160530). SDcg is the Standard Deviation of the CAGRs for the 5 trading cycles, and so gives an indication of the daily start variation. AbsDiff is the absolute value of (100*CAGR_L - CAGR_G). Jacc is the Jaccard index which represents the agreement between GTR1 picks and SI Rankings (see post 262673). The average difference between CAGR_L and CAGR_G is low, but the standard deviation is high, especially at depth 3. depth avgCAGR_L avgCAGR_G avgDiff sdDiff 3 7.45% 7.22 -0.23 5.1 5 7.96% 8.15 0.18 4.0 10 8.47% 8.40 -0.08 2.9 all 7.96% 7.92 -0.04 4.1 A linear regression line has a high R2 of 0.76 using all 495 data points. Slope is slightly less than the ideal 100, and the intercept is close to zero. Fitting a line: CAGR_G = slope * CAGR_L + intercept + error depth slope intercept R2 3 86 0.8 0.75 5 84 1.5 0.77 10 84 1.3 0.78 all 85 1.2 0.76 There are eight screens where CAGR_L and CAGR_G disagree by more than 10. {TK1_R52} There is good agreement at depths 5 and 10, but at depth 3: CAGR_L is -13% and CAGR_G is -1. CAGR_G varies from -7 to 4 over the 5 GTR1 trading cycles, so the difference is probably due to trading date variability. Overall, 165 screens are being compared, so some will fall at the extremes. {FCF-26} There is disagreement at all depths with Ledger results much higher than GTR1. This is surprising given that this is a simple screen with good agreement between GTR1 picks and SI Rankings. At depth 5, CAGR_L is 15% and CAGR_G is 4. CAGR_G varies from 2 to 6 over the 5 GTR1 trading cycles, so trading date variability does not explain all of the difference. Most of the difference occurs in 2013, when the Ledger portfolio value for FCF-26 (SIPRO) with 5 stocks jumped from 17,916 to 37,197. The 108% gain may have been due to a few lucky picks. Maybe this is the fat tails showing up. {Gentle_Screamers} There is good agreement at depths 5 and 10, but at depth 3: CAGR_L is 1% and CAGR_G is 15. CAGR_G varies from 0 to 29 over the 5 GTR1 trading cycles, so the 1% in the Ledgers is probably due to trading date variability. {GSX} There is good agreement at depth 10, but at depth 3: CAGR_L is 10% and CAGR_G is 27. CAGR_G varies from 20 to 33 over the 5 GTR1 trading cycles, so trading date variability does not explain all of the difference. The use of industry median and % rank might cause the difference. Fields used: [SI % Rank-Free Cash Flow-Grth 12m],[SI Ind Price/FCFPS],[SI Ind PE]. {GSX2} This screen is close to {GSX}, and shows similar results. {Microcap_Momentum} There is disagreement at all depths. At depth 5, CAGR_L is 35% and CAGR_G is 21. CAGR_G varies from 10 to 29 over the 5 GTR1 trading cycles, so the difference is probably due to trading date variability. {Up5X3} There is disagreement at all depths. At depth 5, CAGR_L is 45% and CAGR_G is 32. CAGR_G varies from 28 to 36 over the 5 GTR1 trading cycles, so trading date variability does not explain all of the difference. [SI Price/CFPS] might explain the difference, because of the May 2010 definition change. Dropping [SI Price/CFPS] from this screen might be worth considering. {Zweig-26} At depth 5, CAGR_L is 5% and CAGR_G is -6%. CAGR_G varies from -8 to -4 over the 5 GTR1 trading cycles, so trading date variability does not explain all of the difference. screen #_stocks Univ CAGR_L CAGR_G GSD GDDD3 MDD UI Sharpe SDcg AbsDiff Jacc ticker_QQQ i 11.9% 11.8 24 14 -53 15 0.58 0 ticker_SPY i 7.2% 7.3 23 14 -55 17 0.40 0 78RPM 3 s 1% 0 55 27 -72 46 0.19 2.2 2 4% 78RPM 5 s 5% 10 45 22 -66 38 0.41 3.7 5 4% 78RPM 10 s 12% 14 34 15 -55 27 0.58 2.7 2 4% ARS 3 s 2% 6 34 19 -54 25 0.32 1.7 4 56% ARS 5 s 4% 7 29 17 -50 22 0.37 1.2 4 56% ARS 10 s 7% 8 24 16 -52 20 0.41 0.9 1 56% Bob 3 s 11% 10 32 20 -66 31 0.44 2.7 2 96% Bob 5 s 14% 11 28 17 -61 27 0.50 2.3 3 96% Bob 10 s 15% 13 25 15 -56 20 0.63 0.7 2 96% CANSLIM-26 3 s -6% -4 36 21 -64 46 0.00 4.9 2 90% CANSLIM-26 5 s -5% -1 28 19 -62 43 0.03 1.8 4 90% CANSLIM-26 10 s 5% 4 21 14 -49 23 0.27 1.8 0 90% FCF-26 3 s 12% 0 40 24 -70 46 0.13 4.0 12 72% FCF-26 5 s 15% 4 35 19 -62 34 0.26 1.5 11 72% FCF-26 10 s 13% 6 30 17 -62 32 0.31 1.3 7 72% Fried_500 3 s 20% 19 34 19 -73 24 0.73 1.9 0 100% Fried_500 5 s 13% 14 32 20 -73 24 0.58 0.7 1 100% Fried_500 10 s 17% 14 31 18 -72 19 0.58 0.9 3 100% Gentle_Screamers 3 s 1% 15 45 24 -70 39 0.53 10.6 14 82% Gentle_Screamers 5 s 18% 20 35 16 -58 27 0.72 7.2 2 82% Gentle_Screamers 10 s 21% 22 26 10 -36 16 0.94 4.0 1 82% GS_Mungo 3 s 3% 3 32 20 -57 32 0.20 3.3 0 82% GS_Mungo 5 s 11% 7 27 14 -42 19 0.35 2.3 4 82% GS_Mungo 10 s 15% 9 22 12 -33 16 0.47 2.3 7 82% GS_Mungo_Voom 3 s 3% 2 32 20 -56 32 0.18 4.7 1 82% GS_Mungo_Voom 5 s 9% 5 27 15 -46 22 0.29 2.8 3 82% GS_Mungo_Voom 10 s 14% 8 22 12 -33 16 0.45 1.6 6 82% GSX 3 s 10% 27 38 8 -38 14 0.87 4.6 17 47% GSX 5 s 11% 19 30 9 -39 14 0.77 2.8 8 47% GSX 10 s 13% 15 23 11 -39 16 0.73 0.9 2 47% GSX2 3 s 10% 28 39 12 -47 20 0.88 6.8 18 43% GSX2 5 s 8% 23 30 10 -40 16 0.87 4.4 15 43% GSX2 10 s 13% 19 24 10 -37 15 0.89 1.8 7 43% High_Relative_Value 3 s 43% 46 30 8 -39 12 1.55 4.0 3 4% High_Relative_Value 5 s 33% 40 25 9 -41 11 1.58 2.5 7 4% High_Relative_Value 10 s 25% 30 21 10 -42 13 1.47 1.0 5 4% Low_Mult 3 s 34% 32 42 12 -53 22 0.95 2.3 2 9% Low_Mult 5 s 28% 32 33 8 -40 15 1.10 1.9 5 9% Low_Mult 10 s 21% 27 24 7 -32 12 1.17 1.0 6 9% Melange 3 s -5% 1 54 24 -73 53 0.22 2.3 6 67% Melange 5 s 7% 2 45 23 -72 51 0.22 1.8 4 67% Melange 10 s 5% 10 36 18 -60 26 0.43 2.3 5 67% Microcap_Momentum 3 s 30% 5 70 37 -80 42 0.28 13.0 25 79% Microcap_Momentum 5 s 35% 21 59 30 -76 31 0.55 6.3 15 79% Microcap_Momentum 10 s 31% 17 43 25 -72 26 0.55 7.9 14 79% Net-Nets_Grahamified 3 s 27% 28 59 18 -58 20 0.72 3.4 1 64% Net-Nets_Grahamified 5 s 23% 25 48 17 -53 16 0.67 3.8 1 64% Net-Nets_Grahamified 10 s 22% 21 30 12 -51 12 0.78 2.0 1 64% OptiMan 3 s 2% 1 30 21 -68 23 0.11 1.2 1 100% OptiMan 5 s 6% 7 29 15 -62 17 0.35 1.6 1 100% OptiMan 10 s 7% 5 28 19 -70 24 0.27 0.8 2 100% P/S_I_Love_You 3 s 7% 6 37 19 -63 30 0.30 3.1 1 92% P/S_I_Love_You 5 s 3% 9 32 16 -56 26 0.42 1.1 6 92% P/S_I_Love_You 10 s 11% 12 27 15 -52 22 0.55 1.9 1 92% PIH_Naked 3 s 1% 8 44 20 -66 28 0.38 1.9 7 92% PIH_Naked 5 s 8% 14 37 14 -57 20 0.54 5.0 6 92% PIH_Naked 10 s 11% 12 32 12 -53 18 0.52 2.1 1 92% POG 3 s 9% 4 53 26 -67 33 0.28 4.6 5 79% POG 5 s 9% 6 44 21 -59 27 0.32 4.7 3 79% POG 10 s 8% 7 37 17 -56 25 0.34 1.9 1 79% POI 3 s 12% 18 54 20 -70 30 0.58 5.8 6 61% POI 5 s 17% 15 44 18 -65 31 0.55 1.2 1 61% POI 10 s 19% 18 37 14 -60 22 0.67 2.4 1 61% Quality_Earnings 3 s 20% 16 45 12 -48 19 0.55 1.3 4 72% Quality_Earnings 5 s 21% 16 37 13 -51 18 0.61 3.4 5 72% Quality_Earnings 10 s 12% 10 32 16 -57 24 0.44 1.6 2 72% S&P_Peg 3 s 1% 5 36 31 -76 38 0.27 2.5 4 19% S&P_Peg 5 s 2% 6 32 26 -71 32 0.32 1.6 5 19% S&P_Peg 10 s 3% 4 29 22 -65 27 0.26 1.1 2 19% Shrinkage 3 s -1% -1 37 24 -73 37 0.11 0.8 1 79% Shrinkage 5 s 7% 5 30 21 -67 25 0.27 1.3 2 79% Shrinkage 10 s 9% 11 26 16 -59 18 0.53 0.2 2 79% Silver_Parachute 3 s 14% 13 38 20 -70 29 0.50 3.3 1 61% Silver_Parachute 5 s 13% 13 32 18 -64 22 0.53 2.5 0 61% Silver_Parachute 10 s 11% 13 26 18 -61 18 0.62 0.4 2 61% Small_Value 3 s 13% 4 45 22 -65 37 0.26 5.1 9 76% Small_Value 5 s 15% 9 38 17 -54 26 0.38 3.0 7 76% Small_Value 10 s 12% 8 32 17 -62 30 0.40 2.4 4 76% Steady_Growth 3 s 3% 4 31 17 -59 20 0.23 1.2 0 100% Steady_Growth 5 s 4% 1 27 18 -59 25 0.13 0.8 3 100% Steady_Growth 10 s 3% 1 21 14 -51 20 0.11 0.7 1 100% Turnarounds 3 s 8% 5 52 29 -76 38 0.30 2.1 4 79% Turnarounds 5 s 7% 6 42 27 -73 34 0.32 1.8 1 79% Turnarounds 10 s 4% 6 36 24 -70 34 0.33 2.9 2 79% Up_5% 3 s 21% 20 47 21 -66 26 0.65 3.3 1 4% Up_5% 5 s 26% 18 39 16 -59 21 0.65 2.6 8 4% Up_5% 10 s 12% 17 33 14 -56 20 0.67 2.5 5 4% Up5X3 3 s 49% 37 40 13 -56 15 1.07 6.1 13 15% Up5X3 5 s 45% 32 36 15 -59 16 1.02 3.0 14 15% Up5X3 10 s 29% 23 32 14 -57 15 0.85 2.5 6 15% Value_at_the_Top 3 s 18% 15 27 15 -52 22 0.67 4.6 3 61% Value_at_the_Top 5 s 10% 14 23 15 -54 21 0.71 1.6 5 61% Value_at_the_Top 10 s 12% 12 19 14 -51 21 0.68 1.9 0 61% WK_Voom 3 s 29% 32 44 14 -50 17 0.92 9.0 4 0% WK_Voom 5 s 25% 27 35 12 -48 17 0.91 5.3 2 0% WK_Voom 10 s 17% 20 26 9 -36 12 0.87 1.8 3 0% Z26saTA 3 s -2% -4 39 26 -74 51 0.00 3.9 2 18% Z26saTA 5 s -3% -4 31 24 -67 45 -0.03 2.2 1 18% Z26saTA 10 s -1% -2 22 20 -60 40 -0.05 1.9 1 18% Zweig-26 3 s -4% -12 40 31 -84 69 -0.25 2.5 8 43% Zweig-26 5 s 5% -6 30 26 -71 55 -0.14 1.6 11 43% Zweig-26 10 s 1% -4 20 21 -56 44 -0.17 0.4 5 43% AssRS13 3 v -2% 1 30 20 -63 35 0.14 1.7 3 AssRS13 5 v 0% 2 26 21 -64 34 0.18 0.5 2 AssRS13 10 v 6% 5 24 19 -60 29 0.28 0.8 1 AssRS26 3 v 3% 3 32 20 -60 30 0.20 2.0 0 AssRS26 5 v 5% 6 29 21 -62 30 0.30 0.9 0 AssRS26 10 v 5% 4 25 19 -61 30 0.24 0.5 1 BETA 3 v -11% -17 57 43 -88 69 -0.20 3.8 5 BETA 5 v -6% -13 50 37 -84 64 -0.17 3.0 8 BETA 10 v -5% -7 44 31 -75 54 -0.05 1.9 3 BLITZ 3 v -3% -2 31 19 -65 46 0.02 1.2 0 BLITZ 5 v 2% 0 28 20 -61 41 0.08 0.9 2 BLITZ 10 v 2% 2 23 18 -58 31 0.13 0.7 1 CAPLOWEG 3 v 1% 5 38 22 -68 31 0.30 2.4 5 CAPLOWEG 5 v -2% 3 35 21 -65 28 0.21 2.8 4 CAPLOWEG 10 v 3% 4 33 20 -62 24 0.25 1.4 1 CAPRS 3 v 9% 6 49 35 -80 54 0.32 4.4 3 CAPRS 5 v 7% 7 42 30 -74 48 0.34 1.3 0 CAPRS 10 v 3% 6 36 27 -69 38 0.32 0.6 3 CDPD 3 v 1% 0 35 23 -70 40 0.10 0.4 2 CDPD 5 v 3% 3 29 18 -66 26 0.19 0.6 0 CDPD 10 v 9% 9 24 14 -55 16 0.48 0.2 0 COREVALU 3 v 11% 13 24 10 -46 12 0.64 0.4 3 COREVALU 5 v 13% 14 23 10 -44 11 0.69 0.4 1 COREVALU 10 v 11% 12 22 10 -43 10 0.63 0.2 1 DALY 3 v 7% 3 45 23 -66 39 0.25 2.2 3 DALY 5 v 12% 6 39 24 -67 34 0.31 1.5 7 DALY 10 v 8% 6 34 23 -66 29 0.33 0.4 2 DIVIDEND_GROWTH 3 v 13% 15 25 14 -49 16 0.69 0.5 2 DIVIDEND_GROWTH 5 v 13% 16 22 12 -47 12 0.80 1.0 3 DIVIDEND_GROWTH 10 v 10% 12 21 13 -50 12 0.67 0.8 2 EG 3 v 3% 1 48 23 -65 37 0.19 5.1 2 EG 5 v 9% 7 42 17 -58 28 0.34 3.6 2 EG 10 v 15% 11 36 17 -57 23 0.45 0.7 5 EG_PELA 3 v 0% 5 31 18 -59 33 0.28 4.0 5 EG_PELA 5 v 5% 3 28 17 -56 30 0.19 1.0 2 EG_PELA 10 v 3% 3 24 18 -58 32 0.18 1.2 1 EG5_AT 3 v 4% 9 41 26 -71 29 0.39 2.1 5 EG5_AT 5 v 9% 12 36 21 -63 23 0.48 2.1 3 EG5_AT 10 v 7% 10 32 16 -51 18 0.46 1.3 4 EG5_PEG 3 v 13% 7 33 20 -61 32 0.35 3.3 6 EG5_PEG 5 v 11% 3 29 19 -58 32 0.21 1.6 8 EG5_PEG 10 v 4% 3 25 18 -57 32 0.21 1.6 1 EG5PE 3 v 2% 3 32 19 -63 36 0.22 1.4 1 EG5PE 5 v 5% 2 28 18 -58 33 0.18 1.6 3 EG5PE 10 v 7% 3 25 18 -59 32 0.22 0.9 4 EGPLOW_PE 3 v 10% 8 36 15 -56 25 0.37 1.5 2 EGPLOW_PE 5 v 4% 4 32 17 -60 33 0.23 0.9 0 EGPLOW_PE 10 v 6% 6 27 15 -55 23 0.32 1.5 0 EGPLOW_PE_E 3 v 7% 3 34 19 -63 34 0.22 2.1 4 EGPLOW_PE_E 5 v 4% 1 31 18 -61 35 0.13 1.6 3 EGPLOW_PE_E 10 v 7% 6 27 16 -54 23 0.31 1.2 1 EGPR_PE 3 v 5% 8 31 16 -54 27 0.38 3.3 3 EGPR_PE 5 v 4% 4 28 17 -55 29 0.24 0.3 0 EGPR_PE 10 v 4% 4 24 18 -58 32 0.24 1.1 0 EGRSW 3 v 6% 9 49 23 -66 35 0.39 3.2 2 EGRSW 5 v 8% 8 43 21 -65 32 0.37 2.8 0 EGRSW 10 v 8% 9 38 21 -64 28 0.40 0.9 1 ERS13 3 v 10% 8 42 21 -66 27 0.37 2.6 2 ERS13 5 v 11% 11 36 19 -61 22 0.47 1.1 0 ERS13 10 v 7% 8 31 20 -60 24 0.38 0.6 1 ERS26 3 v 2% 9 45 17 -52 22 0.39 3.3 7 ERS26 5 v 11% 9 38 16 -53 21 0.41 1.3 2 ERS26 10 v 6% 8 32 18 -57 23 0.37 1.4 1 FOG_BDF 3 v 4% 1 40 26 -69 41 0.16 2.9 3 FOG_BDF 5 v 4% 3 34 24 -68 39 0.21 2.8 1 FOG_BDF 10 v 8% 4 29 21 -62 31 0.26 2.7 4 FOG_MI 3 v 5% 1 41 31 -77 49 0.16 5.1 4 FOG_MI 5 v 3% 2 35 27 -72 43 0.18 2.9 1 FOG_MI 10 v 2% 5 28 21 -62 33 0.27 2.1 3 GAR_EG5 3 v 5% 8 33 18 -60 34 0.38 1.2 3 GAR_EG5 5 v 4% 6 29 16 -57 28 0.32 1.3 2 GAR_EG5 10 v 6% 5 25 15 -53 22 0.29 1.3 1 GAR4 3 v 16% 18 43 16 -58 26 0.60 6.5 1 GAR4 5 v 18% 17 36 15 -59 23 0.63 1.1 1 GAR4 10 v 17% 13 31 15 -57 23 0.55 1.7 4 GAR4CFS 3 v 19% 16 42 17 -63 29 0.56 5.7 3 GAR4CFS 5 v 15% 14 36 18 -64 30 0.55 2.6 1 GAR4CFS 10 v 14% 10 31 17 -62 29 0.45 1.5 5 GAR4CFSpbvlt3 3 v 18% 16 42 17 -63 29 0.55 5.5 3 GAR4CFSpbvlt3 5 v 15% 14 36 18 -63 30 0.55 2.5 1 GAR4CFSpbvlt3 10 v 14% 10 31 17 -62 29 0.44 1.4 5 GAR4pbvlt3 3 v 16% 18 43 16 -58 26 0.60 6.6 2 GAR4pbvlt3 5 v 17% 17 36 15 -59 23 0.62 1.2 0 GAR4pbvlt3 10 v 17% 13 31 15 -57 23 0.55 1.7 4 GARPEG 3 v 9% 14 49 16 -58 26 0.50 4.4 5 GARPEG 5 v 10% 14 41 14 -51 20 0.54 2.6 4 GARPEG 10 v 14% 14 35 13 -48 18 0.56 1.5 0 H52EarnPS 3 v 8% 8 29 17 -61 31 0.38 2.9 0 H52EarnPS 5 v 1% 3 26 20 -64 41 0.19 1.6 2 H52EarnPS 10 v 4% 2 24 19 -62 37 0.15 0.6 2 HBSP 3 v -2% 0 52 35 -82 35 0.19 2.0 3 HBSP 5 v -1% 0 45 30 -77 28 0.15 1.2 1 HBSP 10 v 5% 5 39 24 -72 22 0.29 1.4 0 HI_DIV 3 v 1% -6 57 36 -83 38 0.07 1.4 8 HI_DIV 5 v 5% 4 46 24 -70 24 0.26 1.3 1 HI_DIV 10 v 7% 5 37 22 -68 20 0.29 1.2 1 HI_INC_CSH 3 v 4% 7 38 15 -55 16 0.35 1.1 3 HI_INC_CSH 5 v 8% 10 35 14 -54 14 0.43 0.6 2 HI_INC_CSH 10 v 10% 9 32 15 -56 15 0.42 1.3 1 HIGH_CASH 3 v -4% 0 50 33 -82 61 0.17 1.8 3 HIGH_CASH 5 v -2% 4 43 28 -73 48 0.25 1.0 5 HIGH_CASH 10 v 2% 2 36 26 -69 43 0.20 1.2 0 HIGHCASHFLOW 3 v 1% 3 27 17 -59 23 0.19 0.4 2 HIGHCASHFLOW 5 v 3% 4 26 14 -53 18 0.23 0.2 1 HIGHCASHFLOW 10 v 5% 5 25 13 -48 15 0.30 0.1 1 HIPRICE 3 v -4% -10 50 38 -82 59 -0.08 3.4 6 HIPRICE 5 v -4% -7 42 31 -77 53 -0.04 1.5 2 HIPRICE 10 v 1% 1 36 25 -70 41 0.17 1.4 1 HIYIELD 3 v 1% 4 34 17 -61 24 0.24 1.1 2 HIYIELD 5 v 4% 5 30 15 -56 21 0.30 1.3 1 HIYIELD 10 v 4% 5 25 14 -51 18 0.30 0.6 1 IN_RS26 3 v 3% 3 42 22 -61 27 0.22 4.9 1 IN_RS26 5 v 4% 5 36 20 -53 27 0.27 3.5 0 IN_RS26 10 v 4% 5 31 18 -54 21 0.28 1.3 1 JLC_DIV 3 v -8% -11 44 33 -87 65 -0.16 1.9 3 JLC_DIV 5 v -7% -4 39 26 -76 39 0.02 1.0 4 JLC_DIV 10 v -2% 2 33 23 -74 26 0.17 1.0 3 KEY100 3 v 10% 6 38 19 -63 38 0.30 3.7 4 KEY100 5 v 11% 12 33 16 -52 26 0.51 2.2 0 KEY100 10 v 8% 10 29 18 -56 25 0.47 1.6 2 KEYCLQ 3 v -1% 2 28 22 -68 40 0.16 0.9 3 KEYCLQ 5 v 1% 2 24 18 -61 32 0.17 0.7 1 KEYCLQ 10 v 4% 3 21 15 -53 24 0.21 0.3 0 KEYRSW 3 v 2% 5 31 17 -59 24 0.30 0.8 3 KEYRSW 5 v 3% 4 27 18 -59 26 0.24 1.2 1 KEYRSW 10 v 5% 5 23 17 -56 25 0.28 0.3 0 KEYSTONE 3 v 6% 5 30 18 -62 26 0.28 2.4 1 KEYSTONE 5 v 5% 4 26 17 -59 25 0.23 0.6 1 KEYSTONE 10 v 5% 4 22 15 -53 22 0.27 0.5 1 LLTD 3 v 28% 24 45 10 -52 14 0.73 4.3 4 LLTD 5 v 21% 19 38 9 -50 12 0.67 2.4 2 LLTD 10 v 20% 18 33 9 -47 11 0.69 0.8 2 LOWDV 3 v 1% 2 50 33 -88 43 0.22 2.1 1 LOWDV 5 v 2% 2 43 28 -84 34 0.20 1.3 1 LOWDV 10 v 3% 3 37 26 -83 31 0.23 0.9 0 LOWPB 3 v -12% -16 91 66 -97 80 0.04 2.5 4 LOWPB 5 v -6% -11 74 53 -96 74 0.06 1.8 5 LOWPB 10 v -2% -5 59 42 -93 61 0.10 1.4 3 LOWPE 3 v 4% -2 53 32 -86 64 0.14 3.2 6 LOWPE 5 v -2% 1 48 31 -80 57 0.21 1.6 3 LOWPE 10 v 1% 5 42 28 -74 39 0.29 2.0 4 LOWPE_ZLTD 3 v 18% 15 44 12 -50 15 0.55 2.9 3 LOWPE_ZLTD 5 v 15% 15 37 10 -46 13 0.56 2.0 0 LOWPE_ZLTD 10 v 18% 14 32 9 -44 11 0.59 0.4 4 LOWPE_ZLTDA 3 v 17% 15 44 12 -55 17 0.55 2.5 2 LOWPE_ZLTDA 5 v 17% 16 38 10 -49 13 0.59 1.4 1 LOWPE_ZLTDA 10 v 16% 15 33 9 -44 11 0.62 0.7 1 LOWPSR 3 v 5% -3 38 25 -70 44 0.05 2.0 8 LOWPSR 5 v -1% -4 33 24 -68 45 -0.04 0.9 4 LOWPSR 10 v 0% -1 29 23 -66 39 0.05 1.2 1 LPE_YLD 3 v 14% 13 35 14 -57 15 0.51 1.4 1 LPE_YLD 5 v 14% 14 32 12 -54 12 0.58 1.8 0 LPE_YLD 10 v 19% 18 32 10 -52 11 0.70 1.8 1 LPS1+2_R26 3 v 3% 2 42 18 -58 27 0.21 3.6 1 LPS1+2_R26 5 v 5% 5 35 16 -53 22 0.27 2.1 0 LPS1+2_R26 10 v 9% 6 30 15 -51 19 0.32 1.2 3 LPS1+2_RSW 3 v -2% -3 43 25 -70 45 0.07 3.1 1 LPS1+2_RSW 5 v -4% 1 37 22 -64 34 0.16 2.8 5 LPS1+2_RSW 10 v 6% 7 32 16 -54 21 0.35 0.6 0 LPSAD 3 v 8% 7 49 35 -85 31 0.34 0.8 1 LPSAD 5 v 5% 5 43 30 -82 27 0.29 1.5 0 LPSAD 10 v 6% 5 37 27 -75 25 0.30 0.9 0 LPSB 3 v -7% -12 57 54 -94 69 -0.08 1.6 5 LPSB 5 v -4% -4 49 35 -85 43 0.08 1.5 0 LPSB 10 v 3% 1 42 28 -79 28 0.17 0.9 3 OPTION_A 3 v -11% -9 52 29 -79 61 -0.04 6.3 2 OPTION_A 5 v -7% -3 44 28 -73 46 0.07 3.4 4 OPTION_A 10 v 0% 3 36 22 -65 36 0.22 1.9 3 PEBsize 3 v 14% 17 53 30 -84 32 0.56 4.3 3 PEBsize 5 v 12% 10 47 28 -82 33 0.42 1.0 2 PEBsize 10 v 14% 12 42 24 -79 26 0.47 1.2 2 PEG 3 v -2% -4 47 28 -77 53 0.07 3.6 2 PEG 5 v 2% 4 41 19 -64 37 0.25 1.4 2 PEG 10 v 15% 13 36 15 -54 21 0.52 1.5 3 PEG13 3 v 16% 8 44 27 -71 42 0.38 0.7 8 PEG13 5 v 19% 12 39 20 -61 30 0.47 3.2 8 PEG13 10 v 14% 11 34 19 -58 22 0.49 1.6 3 PEGFF 3 v 9% 1 47 29 -73 42 0.20 1.6 7 PEGFF 5 v 4% 1 39 29 -73 42 0.16 3.1 3 PEGFF 10 v 5% 4 35 29 -72 34 0.25 0.8 1 PEG-Minimalist 3 v 11% 17 32 16 -56 25 0.66 2.3 5 PEG-Minimalist 5 v 10% 18 27 13 -49 19 0.77 1.8 8 PEG-Minimalist 10 v 10% 15 24 12 -41 16 0.73 1.9 5 PEG-NT 3 v 13% 9 49 31 -75 39 0.39 2.9 4 PEG-NT 5 v 9% 9 43 27 -70 31 0.39 1.9 0 PEG-NT 10 v 12% 11 38 19 -62 21 0.47 0.7 0 PEGRSW 3 v -3% 5 50 26 -77 49 0.30 4.1 8 PEGRSW 5 v -1% 2 44 24 -72 45 0.22 1.9 4 PEGRSW 10 v 9% 9 38 22 -65 29 0.39 1.3 0 PIH_CSO_safe 3 v 19% 18 34 13 -64 18 0.69 1.8 1 PIH_CSO_safe 5 v 18% 18 29 9 -47 12 0.75 0.8 0 PIH_CSO_safe 10 v 13% 13 26 11 -46 13 0.59 0.9 0 PIH_CSO_simple 3 v 17% 15 34 12 -60 17 0.60 1.9 2 PIH_CSO_simple 5 v 21% 20 29 9 -48 12 0.82 0.8 1 PIH_CSO_simple 10 v 15% 15 25 10 -45 12 0.70 0.4 0 PIH4 3 v 18% 14 44 15 -50 21 0.51 3.1 4 PIH4 5 v 14% 14 38 14 -50 19 0.53 2.0 0 PIH4 10 v 11% 13 33 14 -53 18 0.55 0.8 2 PL_LD_NRS 3 v 13% 14 32 13 -50 20 0.56 2.3 0 PL_LD_NRS 5 v 6% 10 28 15 -56 26 0.46 1.5 4 PL_LD_NRS 10 v 4% 7 26 18 -58 27 0.37 0.8 3 PL_LD_NRS_ALT 3 v 13% 13 31 12 -46 19 0.56 2.6 0 PL_LD_NRS_ALT 5 v 9% 11 28 14 -52 21 0.50 1.4 2 PL_LD_NRS_ALT 10 v 6% 6 26 17 -58 29 0.31 0.9 0 PLOW_PE 3 v 0% 2 36 18 -60 31 0.20 2.6 3 PLOW_PE 5 v 6% 5 32 16 -54 25 0.28 3.1 1 PLOW_PE 10 v 3% 4 28 16 -54 26 0.26 1.1 1 PLOW_PE2 3 v 9% 4 43 21 -62 30 0.27 1.8 5 PLOW_PE2 5 v 3% 0 38 21 -60 34 0.14 1.9 3 PLOW_PE2 10 v 6% 5 34 18 -57 25 0.30 1.3 0 PLOW_PE2MOD 3 v 4% 3 45 19 -53 27 0.25 4.9 0 PLOW_PE2MOD 5 v 12% 8 38 18 -58 23 0.37 2.0 4 PLOW_PE2MOD 10 v 11% 10 29 14 -53 19 0.46 1.9 1 PLOW26WK 3 v 6% 6 30 17 -59 28 0.33 1.7 0 PLOW26WK 5 v 5% 6 26 16 -53 24 0.32 1.6 0 PLOW26WK 10 v 8% 9 23 14 -51 19 0.45 0.9 0 PLOWBKLD 3 v -4% -4 41 23 -58 35 0.04 0.8 1 PLOWBKLD 5 v -1% 1 35 20 -59 32 0.14 1.1 2 PLOWBKLD 10 v 4% 6 30 17 -54 21 0.32 1.1 2 PLOWBVS 3 v 4% 1 38 23 -68 42 0.17 1.4 3 PLOWBVS 5 v 3% 4 33 20 -64 33 0.25 1.6 1 PLOWBVS 10 v 2% 3 30 18 -58 28 0.23 1.2 2 PLOWEG5_RS631 3 v 20% 11 35 12 -50 18 0.47 0.6 9 PLOWEG5_RS631 5 v 14% 8 31 13 -49 21 0.38 1.3 6 PLOWEG5_RS631 10 v 8% 6 27 15 -50 23 0.33 1.3 1 PLOWLD_NRS 3 v 7% 14 36 10 -47 13 0.54 4.6 7 PLOWLD_NRS 5 v 11% 14 32 13 -51 14 0.59 2.3 3 PLOWLD_NRS 10 v 9% 9 29 16 -54 19 0.43 1.0 0 PLOWPBV 3 v 1% 0 38 23 -68 42 0.13 1.3 1 PLOWPBV 5 v 3% 5 33 20 -64 32 0.27 1.1 1 PLOWPBV 10 v 0% 3 30 19 -58 30 0.20 1.0 2 PLOWRSW 3 v 10% 8 31 17 -57 25 0.39 1.8 2 PLOWRSW 5 v 9% 8 27 14 -48 20 0.40 1.4 1 PLOWRSW 10 v 8% 9 24 13 -46 16 0.46 0.3 1 PST_5/10 3 v 7% 10 48 17 -56 23 0.42 2.8 3 PST_5/10 5 v 11% 16 42 13 -52 18 0.56 3.1 5 PST_5/10 10 v 10% 11 37 13 -51 16 0.47 1.0 2 R13_EG 3 v 4% 6 34 19 -60 27 0.31 2.5 2 R13_EG 5 v 5% 6 30 19 -61 29 0.33 2.2 2 R13_EG 10 v 7% 5 25 17 -56 30 0.30 1.4 2 R13_EG_E 3 v 5% 8 31 17 -58 25 0.39 3.1 3 R13_EG_E 5 v 5% 8 28 18 -61 29 0.38 2.5 3 R13_EG_E 10 v 4% 4 23 17 -56 31 0.27 1.3 1 R13_EG2 3 v 5% 8 32 17 -53 25 0.38 3.9 3 R13_EG2 5 v 4% 5 28 16 -52 25 0.27 0.9 1 R13_EG2 10 v 5% 4 24 18 -58 32 0.24 0.8 1 REIT 3 v 3% 1 70 33 -91 42 0.27 3.2 2 REIT 5 v 7% 4 63 29 -87 31 0.30 1.3 3 REIT 10 v 5% 5 33 16 -66 16 0.27 0.4 0 REP 3 v 9% 7 38 21 -61 26 0.34 1.7 2 REP 5 v 4% 3 34 21 -61 30 0.21 0.6 1 REP 10 v 7% 6 29 16 -55 21 0.33 1.5 1 REV 3 v 6% 8 34 17 -55 25 0.37 3.4 1 REV 5 v 8% 7 30 16 -55 26 0.34 0.8 1 REV 10 v 7% 5 25 17 -55 26 0.29 1.2 2 ROC_RS26WK 3 v 6% 4 28 26 -72 37 0.26 1.3 1 ROC_RS26WK 5 v 5% 7 24 21 -63 28 0.39 0.8 3 ROC_RS26WK 10 v 7% 9 21 15 -52 19 0.48 0.1 2 ROEPLOW 3 v 8% 12 31 14 -52 18 0.53 2.8 5 ROEPLOW 5 v 9% 12 28 14 -48 16 0.53 2.1 3 ROEPLOW 10 v 11% 11 26 13 -48 14 0.54 0.5 0 ROIC 3 v 4% 5 29 24 -68 33 0.28 2.0 1 ROIC 5 v 8% 8 25 19 -59 26 0.43 1.5 0 ROIC 10 v 9% 9 22 14 -49 18 0.48 0.5 0 RS13WK 3 v 17% 12 46 19 -64 27 0.46 5.9 4 RS13WK 5 v 12% 11 39 17 -56 23 0.47 2.4 1 RS13WK 10 v 9% 9 33 19 -58 23 0.41 1.0 0 RS13WKT12 3 v 8% 2 54 25 -73 43 0.25 5.2 5 RS13WKT12 5 v 10% 9 45 17 -54 24 0.40 3.3 1 RS13WKT12 10 v 17% 12 38 17 -55 21 0.48 1.8 5 RS1WK 3 v 11% 6 41 25 -69 35 0.31 2.7 6 RS1WK 5 v 5% 2 35 26 -68 38 0.17 1.0 3 RS1WK 10 v 5% 1 30 27 -68 40 0.13 2.1 4 RS2020 3 v 18% 20 49 19 -61 27 0.64 1.8 2 RS2020 5 v 17% 23 40 15 -54 20 0.75 3.1 6 RS2020 10 v 16% 20 33 13 -50 17 0.76 3.1 4 RS26WK 3 v 4% 3 49 20 -58 31 0.26 1.1 1 RS26WK 5 v 10% 11 41 15 -50 22 0.45 1.9 1 RS26WK 10 v 8% 9 35 17 -56 23 0.41 2.3 1 RS26WKT12 3 v 3% 1 57 27 -68 35 0.23 5.0 2 RS26WKT12 5 v 7% 7 49 19 -58 25 0.35 3.7 1 RS26WKT12 10 v 13% 11 40 16 -54 21 0.45 2.0 2 RS4WK 3 v 19% 15 42 18 -60 25 0.54 4.2 4 RS4WK 5 v 12% 13 36 19 -62 24 0.51 3.0 1 RS4WK 10 v 14% 11 31 19 -62 24 0.48 1.2 3 RS4WKT12 3 v 15% 23 49 17 -59 26 0.69 4.6 8 RS4WKT12 5 v 17% 20 41 15 -54 21 0.68 1.1 4 RS4WKT12 10 v 19% 18 34 14 -52 18 0.68 1.2 1 RS52WK 3 v -8% -9 54 37 -84 60 -0.01 2.9 0 RS52WK 5 v -3% -1 47 30 -82 55 0.14 0.8 2 RS52WK 10 v 5% 7 40 21 -61 30 0.35 1.5 2 RS52WKT12 3 v -18% -17 57 43 -90 74 -0.20 2.3 1 RS52WKT12 5 v -16% -8 50 35 -82 61 -0.03 1.2 8 RS52WKT12 10 v -6% -3 43 29 -75 51 0.06 1.3 3 RSCAP 3 v 3% 9 43 31 -78 52 0.40 2.1 6 RSCAP 5 v 6% 10 39 29 -73 44 0.43 1.3 3 RSCAP 10 v 1% 7 38 24 -67 35 0.35 1.0 6 RSEG-rgonsal 3 v 4% 1 35 23 -65 39 0.15 1.4 3 RSEG-rgonsal 5 v 4% 6 30 18 -56 27 0.32 2.7 2 RSEG-rgonsal 10 v 7% 4 25 18 -57 32 0.24 1.7 3 RSEP 3 v -4% 1 41 24 -63 32 0.17 2.2 5 RSEP 5 v 1% 5 35 20 -58 23 0.27 1.7 4 RSEP 10 v 3% 7 22 13 -43 15 0.37 1.0 4 RSPEG1 3 v -4% -3 41 25 -63 36 0.05 3.2 1 RSPEG1 5 v -5% 1 36 23 -62 30 0.17 2.4 6 RSPEG1 10 v 4% 7 27 17 -54 21 0.35 1.4 2 RSPEG2 3 v 10% 6 43 23 -67 40 0.31 2.5 4 RSPEG2 5 v 4% 9 38 16 -54 27 0.40 1.8 5 RSPEG2 10 v 6% 8 32 17 -51 22 0.37 1.8 2 RSPS 3 v 11% 13 50 20 -66 30 0.49 3.1 2 RSPS 5 v 11% 12 42 15 -49 21 0.48 4.9 1 RSPS 10 v 10% 11 35 15 -52 22 0.48 2.3 1 RSW 3 v 2% 1 52 26 -69 39 0.22 4.2 1 RSW 5 v 10% 5 45 23 -67 35 0.28 1.9 5 RSW 10 v 8% 9 38 20 -61 28 0.41 2.0 1 RSWEPS 3 v 15% 14 49 22 -68 25 0.50 1.0 1 RSWEPS 5 v 7% 8 43 24 -71 30 0.38 1.8 2 RSWEPS 10 v 7% 7 35 21 -64 24 0.35 2.1 0 SAFETY_BOUNCE 3 v 14% 7 20 12 -46 16 0.43 2.1 7 SAFETY_BOUNCE 5 v 9% 8 18 12 -44 15 0.49 1.4 1 SAFETY_BOUNCE 10 v 10% 11 17 10 -41 12 0.70 0.8 1 SAFETY_HICCUP 3 v 12% 18 30 10 -46 13 0.72 4.5 6 SAFETY_HICCUP 5 v 15% 17 27 11 -47 13 0.74 3.8 2 SAFETY_HICCUP 10 v 14% 17 24 11 -46 12 0.79 3.0 2 Screamers 3 v 11% 17 44 19 -62 30 0.58 5.6 6 Screamers 5 v 10% 17 37 16 -55 23 0.63 4.1 7 Screamers 10 v 7% 15 31 16 -53 23 0.62 3.0 7 SLS_RS13 3 v 6% 2 35 23 -67 38 0.20 0.5 3 SLS_RS13 5 v 5% 3 30 21 -67 36 0.21 1.7 2 SLS_RS13 10 v 9% 7 26 17 -60 27 0.37 1.5 2 SLS_RS26 3 v 3% 3 37 20 -59 25 0.21 2.2 0 SLS_RS26 5 v 5% 5 32 18 -55 22 0.27 1.4 0 SLS_RS26 10 v 6% 7 27 17 -57 20 0.36 1.1 0 SPARK 3 v -4% -2 35 24 -64 37 0.07 1.2 2 SPARK 5 v -4% 2 31 23 -61 30 0.19 1.5 6 SPARK 10 v 2% 5 27 21 -54 25 0.28 1.4 2 SPARKRSW 3 v 6% -1 35 25 -62 34 0.09 1.9 7 SPARKRSW 5 v 4% 1 31 23 -58 28 0.13 0.3 3 SPARKRSW 10 v 5% 4 28 21 -54 25 0.26 0.8 1 TA_A 3 v -4% 6 44 19 -61 31 0.32 4.4 10 TA_A 5 v 5% 8 37 19 -60 27 0.36 1.9 2 TA_A 10 v 11% 6 32 19 -60 31 0.33 2.0 5 TK1_R52 3 v -13% -1 53 33 -82 51 0.17 4.1 12 TK1_R52 5 v -5% -3 46 31 -78 51 0.08 2.0 2 TK1_R52 10 v -1% 2 38 23 -67 38 0.20 1.2 3 TK2_R52 3 v -12% -7 50 34 -83 63 -0.01 4.5 5 TK2_R52 5 v -5% -1 43 29 -78 50 0.12 2.7 3 TK2_R52 10 v 2% 1 36 23 -64 35 0.15 1.0 1 TPEG13 3 v 10% 11 43 23 -66 31 0.43 2.0 1 TPEG13 5 v 8% 11 38 20 -64 28 0.45 3.6 3 TPEG13 10 v 7% 6 29 19 -62 25 0.32 0.7 1 TREPPE 3 v 9% 9 39 22 -68 27 0.39 2.8 0 TREPPE 5 v 14% 10 33 20 -66 27 0.44 1.4 4 TREPPE 10 v 7% 7 29 18 -61 25 0.36 1.5 0 TREPPE_E 3 v 5% 3 37 22 -65 34 0.23 2.9 2 TREPPE_E 5 v 14% 6 32 18 -59 27 0.31 3.0 8 TREPPE_E 10 v 10% 6 28 17 -58 25 0.31 0.7 4 TTI 3 v -2% -1 40 29 -78 55 0.12 3.2 1 TTI 5 v -3% 0 31 23 -68 48 0.09 2.1 3 TTI 10 v -1% 0 23 16 -48 33 0.06 1.0 1 TVALUE 3 v 9% 7 44 22 -62 25 0.34 2.7 2 TVALUE 5 v 6% 7 40 21 -66 23 0.35 1.6 1 TVALUE 10 v 6% 7 39 21 -69 20 0.35 1.6 1 Value_EG 3 v 3% 11 44 23 -67 30 0.45 3.0 8 Value_EG 5 v 11% 10 38 23 -66 27 0.44 3.6 0 Value_EG 10 v 8% 9 32 21 -60 23 0.41 2.0 1 ValueRatio 3 v 19% 17 35 11 -45 15 0.65 1.8 2 ValueRatio 5 v 14% 16 32 11 -50 14 0.64 2.0 1 ValueRatio 10 v 9% 11 30 14 -51 14 0.50 2.0 2 YEYPayout 3 v 15% 16 43 18 -70 25 0.57 3.1 1 YEYPayout 5 v 9% 13 39 16 -68 20 0.51 2.8 4 YEYPayout 10 v 4% 9 38 18 -70 19 0.39 1.4 4 YIELD4 3 v 7% 3 41 26 -75 35 0.22 1.4 4 YIELD4 5 v 5% 4 34 22 -68 27 0.25 1.0 1 YIELD4 10 v 6% 4 29 19 -64 26 0.23 0.4 2 YldDiv 3 v 7% 7 35 18 -65 24 0.35 0.8 0 YldDiv 5 v 9% 8 29 17 -60 18 0.39 0.9 1 YldDiv 10 v 9% 10 26 12 -53 12 0.51 0.7 1 YLDEARNYEAR 3 v 17% 21 40 15 -60 17 0.70 3.5 3 YLDEARNYEAR 5 v 14% 17 37 18 -66 20 0.63 2.5 3 YLDEARNYEAR 10 v 6% 10 34 20 -68 20 0.43 1.9 4 YLDEARNYEAR2 3 v 20% 25 38 9 -40 12 0.83 2.6 5 YLDEARNYEAR2 5 v 13% 18 33 10 -39 12 0.70 0.8 5 YLDEARNYEAR2 10 v 7% 12 30 14 -48 15 0.53 2.1 4 YLDYEAR 3 v 15% 10 34 15 -57 18 0.44 4.2 5 YLDYEAR 5 v 10% 9 31 14 -54 15 0.43 3.0 1 YLDYEAR 10 v 6% 8 29 15 -57 14 0.40 1.5 2 ZLTD 3 v 28% 23 45 8 -50 12 0.71 2.7 5 ZLTD 5 v 23% 17 39 11 -54 13 0.62 3.4 6 ZLTD 10 v 21% 16 38 15 -62 19 0.59 1.8 5 ZLTDA 3 v 22% 23 44 13 -56 16 0.73 3.3 1 ZLTDA 5 v 20% 19 38 12 -54 14 0.66 3.0 1 ZLTDA 10 v 20% 17 35 15 -58 18 0.64 1.7 3