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Attempting to reproduce Dani Burger's Cat Smart Beta: https://www.bloomberg.com/news/articles/2017-06-01/my-smart-beta-etf-premised-on-cats-rang-up-an-849-751-return

The original article describes a strategy that goes long all stocks with "cat" anywhere in their legal names. I screened to the Q1500US with Cat anywhere in their names, hence the very different results.

Clone Algorithm
10
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
--
Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 59303681c607395214a2bdf7
There was a runtime error.
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2 responses

Hm, dropped the Q1500US screen... looks like the slippage model agrees that those microcaps are untradeable...

Clone Algorithm
10
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 59303abb15622d6f59d5cb5a
There was a runtime error.

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