Defeat S&P is one fascinating thing, but it is also difficult, so i not said "how to defeat", i just to said "try to defeat".I develop a smart beta momentum strategy, called "fractal index", from the results of the backtest in one-year/thress-year/five-year/ten-year period, whether bullish or bearish market that can both performed well.
Before discussion of technical details，let us clear mind to face some original simple and basic question.
1.What is S&P? Yes, it is one sample of market benchmar. It is the famous index that everyone konws. OK, let us change a dimension to see，the fact it is a value investment portfolio, though nominally call it "Index".
2.What is good stock? Of course , the price is rising is good stock, that is blue-chip OR growth stock. I tend to think the market price reflects stock value but not entirely. Price rise is drived by buy order, and buy order is made from somebody think "it is more valuable", whether from the perspective of investment or speculation.
3.What is now? If we said moving average is the collective intelligence of stock price in time dimension, and we can said ETFs is collective intelligence of stock price in space dimension. I really like ETFs, like equal-weighted ETF index, fundamental ETF index and low volatility index. Can we try to do better?
4.How to do? Alpha stragety emphasise get profit beyond market, Beta stragety emphasise risk-averse under market. So, compounding alpha and beta stragety, i develop a smart beta momentum strategy, the basic idea is "build new portfolio better than S&P".
The demo of backtest capture screen is below, enjoy it:
