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ETF Screener filters and columns (10y)

cq
caio quirinoAugust 02, 24 | Posted in Enhancement Requests

Hey! Would be great if you add some 10Y filters and/or columns on screener, like 10y alpha, 10y martin ratio, 10y treynor ratio, 10y beta and things like that. I know, could be challenging and not for now, but, in the long run, will be excelent. My suggestion come from my difficulty to ranking ETFs by their 10y martin ratio individually. I took like one entire day to classify those ETFs, one by one. And then, i wanted to reclassify again but at this time, by their alpha. Anyway, i dont think this is just my case, cause I prefer 10y filters over 12-month, they are more plausible and reality-refined.

(My whole idea is make a "magic formula" for ETFs, ranking them by some characteristics like risk-return metrics (i prefer martin at this moment, but if you add another like 10y summers or information ratio), order, and ranking them by their alpha (or even jensen's alpha if you add), and select a portfolio from the bests ranking sum's of these two criteria (and try to balance with no correlation/negative correlation)).

I dont really know if this is a good idea, but i want to try hahah. Theoretically, this could mitigate the losses and reward the returns. I did a 10y portfolio at this criteria and they're beating the market (S&P500) by a little margin but without negative years and the half of negative months compared to S&P. Much more smoothier and still beating the market.

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