Big news this week with the release of our new Canadian All TSX deep value stock screener, and the backtest results are astounding!
Backtesting Results Canada All TSX Stock Screen
We backtested the returns to a theoretical portfolio of stocks selected by The Acquirer’s Multiple® from the Canada All TSX stock screen. The backtest assumed the screen bought and held for a year 30 stocks selected from the All TSX universe (the largest 95 percent of all TSX stocks by market capitalization). The portfolios were rebalanced on the first day of the year using the most recent fundamental data. The backtest ran from January 2, 1999 to June 16, 2017.
Over the full eighteen-and-one-half year period, the Canada All TSX screen generated a total return of 2,536 percent, or a compound growth rate (CAGR) of 19.1 percent per year. This compared favorably with the S&P/TSX Composite TR, which returned a cumulative total of 232 percent, or 4.7 percent compound.
You can read more about the full backtesting results for the Canada All TSX stock screen here.
How does this compare with our U.S. Stock Screens?
Here’s how the Canada All TSX stock screen compares with our three U.S. deep value stock screens:
All Investable U.S. Stock Screener (CAGR 25.9%)
Over a full sixteen-and-one-half year period, the All Investable stock screen generated a total return of 5,705 percent, or a compound growth rate (CAGR) of 25.9 percent per year. This compared favorably with the Russell 3000 TR, which returned a cumulative total of 265 percent, or 5.7 percent compound.
Small & Micro Cap U.S. Stock Screener (CAGR 22%)
Over a full sixteen-and-a-half year period, the Small & Micro Cap stock screen generated a total return of 3,284 percent, or a compound growth rate (CAGR) of 22.0 percent per year. This compared favorably with the Russell 3000 TR, which returned a cumulative total of 265 percent, or 5.7 percent compound.
Large Cap 1000 Stock U.S. Stock Screener (CAGR 18.4%)
Over the full sixteen-and-a-half year period, the Large Cap 1000 stock screen generated a total return of 1,940 percent, or a compound growth rate (CAGR) of 18.4 percent per year. This compared favorably with the Russell 1000 Total Return, which returned a cumulative total of 259 percent, or 5.6 percent compound.
How do I get the Canada All TSX stock screen?
The Canada All TSX stock screen is included with our three other U.S. stock screens for paid subscribers here.
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Don’t forget to check out our FREE Large Cap 1000 – Stock Screener, here at The Acquirer’s Multiple:
