No. of Recommendations: 18
in other words, some "samples" are so biased that should not be used for any purpose at all
I guess it's time to re-post on the SIPro Index.
Almost six years ago I introduced the idea of a SIPro index (would that be SIPI?). The general rap on MI screens is that they are volatile and are only beta screens; they go up more when the market is going up and go down more in a crash.
Well, to quote Mr. Gershwin, it ain't necessarily so.
The main issue is that our screens typically hold three or five stocks while an index has 100, 500, 1000 stocks. To level the playing field I took 20 SIPro screens and averaged their returns for each year since 1998. Since 2006 two of the screens have been discontinued (Commodity and Eastwood because the short interest field is no longer carried) so it only has 18 screens for a total of 90 stocks.
Here are the post-creation numbers:
SIPI SPY
2006 27% 15%
2007 36 5
2008 -30 -37
2009 21 26
2010 35 15
2011 5 2
In a few more weeks we'll add 2012.
DB2