RLXXF - A Quality Stock Index That Consistently Outperforms The Market
- A 20-year back-testing study of my annual index for US-listed quality stocks reveals remarkably consistent outperformance on a risk-adjusted basis:
- Up to 21.1% in average annualized returns, 4.8% annualized alpha, average max drawdown of 8.8%, average Sortino ratio of 3.89, and an average Information Ratio of up to 1.21.
- Stocks making my Quality Index for more years significantly outperform by an additional amount, even on a risk-adjusted basis: 25.7% average annual return, -12.8% average max drawdown, 4.64 average Sortino.
- This backtesting study is subject to potential survivorship bias and some look-ahead bias, but the backtesting risks are minimized due to the nature of the parameters used.
- My Quality Index can be used as a superior alternative to passive investment in the market index. It can also be used as a fundamentally sound watchlist for position trading opportunities.
For further details see:
A Quality Stock Index That Consistently Outperforms The Market