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No. of Recommendations: 5
PS, I said:
For the version with a greedier final sort meant for smaller number of holdings, e.g., 20HTD25 or 20HTD30...
Here is a link for 30HTD33, cutoff 24%.
This backtests 19870302 - 20200529 at CAGR 15.41


I forgot to repeat that for smaller numbers of stocks, this was the variation mentioned in the early posts: the final sort is different.
Final sort is cash/market cap, not absolute (cash-debt)

You can manage a slightly higher return with 15 stocks, e.g. 15 HTD 30.
This backtests 19870302 - 20200529 at CAGR 16.47
http://gtr1.net/2013/?~ROE_Cash_SI:h42i126f0.4::MCap:tn1700:...


Also PS:
FWIW, S&P 500 equal weight in the same interval is CAGR 10.81%
So 16.47% is pretty good, if that sort of advantage could be managed in reality going forward.

The risk metrics are not hugely higher than for the S&P 500, and the trading is not too bad for 15HTD30: annual turnover is 2.36

Jim
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