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Author: LLackey Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 5980  
Subject: DJIA BI History 1973-2002 Date: 6/12/2003 12:42 AM
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It took us a little longer than we would have wanted, but we have finished the Dow Search table for the years 1973-2002. You can search according to a specific strategy (Classic BI, Value BI4, Cheap BI4, TNT or 4 most undervalued) or you can search according to your own criteria (Percent under downside, earnings bogey and by year). The "help" page can be found by clicking on the word strategy or criteria in the search area.

Everything is based on buying at the beginning of each year and selling at the end of each year. The GSD is an annual GSD since the data is annual. If you search for criteria that does not have picks for one of the years, the Tbill return is used for that particular year.

The table can be found at the following link: https://www.benchmarkinvesting.com/DowSearch.asp

I've replicated the table that StevnFool assembled to show the sweet spot. With the addition of the last four years of data the sweet spot has spread a bit.

Earnings Growth
%<Down Ignore -10 0 8 10 12 20

Ignore 11/17/0.35 13/18/0.44 14/18/0.48 15/19/0.50 15/19/0.51 15/19/0.52 15/19/0.49
20 15/17/0.56 16/18/0.58 17/18/0.62 18/19/0.62 18/20/0.62 18/23/0.58 19/26/0.54
10 16/17/0.59 17/18/0.60 19/18/0.68 20/19/0.69 19/22/0.66 19/25/0.61 23/24/0.67
5 17/18/0.62 18/19/0.64 19/19/0.69 21/20/0.70 21/23/0.69 20/26/0.62 23/24/0.67
0 19/17/0.70 20/18/0.73 21/18/0.77 23/19/0.82 22/22/0.76 21/24/0.69 20/23/0.61
-5 15/16/0.52 16/16/0.58 17/17/0.62 19/18/0.67 20/17/0.72 20/20/0.62 19/21/0.59
-10 15/17/0.54 17/17/0.60 17/18/0.61 18/19/0.63 19/18/0.66 20/20/0.61 18/20/0.56
-25 16/20/0.46 16/21/0.47 17/21/0.48 17/21/0.51 18/21/0.52 18/21/0.53 18/23/0.52


Strategy CAGR GSD Sharpe
Classic BI 22 22 0.76
Cheap BI4 24 22 0.86
Value BI4 25 22 0.9
TNT BI 23 20 0.86
4 Most Undervalued 21 18 0.82
Dow 30 11 17 0.34


Overall all the above strategies dropped 4 pts of CAGR and added 3-4 pts of GSD with corresponding drops in Sharpe.

- Lee
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