We did a fun project that sorts securites into decile portfolios based on the FUTURE 5-year returns and rebalances on a set interval.
Yes, a blatant look-ahead bias to see what the “perfect” 5-year forecasting investor would achieve.
- Column 1 sorts every 5 years
- Column 2 sorts every 3 years
- Column 3 sorts every 1 year
- Column 4 sorts every month
- ~30% CAGR is the upper limit of mid/large cap equity.
- Max drawdowns cannot be avoided.
- Standard deviation is a silly measure to examine when assessing risk/reward.
The full report can be accessed here:
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