What Universe do you use?

General
21

Yuval. Why do you prefer SubSecCount<x as opposed to SectorCount<x?

22

I don't mind having 50% of my portfolio in one sector, but I prefer not to have too much of my portfolio in one subsector. Correlations of stocks within a sector are quite a bit lower than in a subsector.

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WTF is up with out of sample performance from 2023-Present?
23

Does force stocks into universe, push finance, utilities and REITS back into the universe?

I’m using RBICS(302520)=0, RBICS(65)=0 and RBICS(30)=0, and still getting Financials in my simulation.

Also, love your work Kurtis. Been really appreciating your videos as I’ve started the P123 journey.

24

It shouldn’t. Because it won’t get bought in the first place. It will only keep existing portfolio positions in the universe.

The only thing I can think of is maybe FactSet reclassified a stock. It entered as a different sector, you bought it, and it was reclassified as a financial stock.

To test this, put sell rules in your simulation as well such as RBICS(30)=1. That way if this happens it will kick it out of your portfolio and not allow it back in (hopefully).

25

Also, just brainstorming here: if a buy rule is highly cyclical or too dependent on the market regime, should it even be a buy rule at all (assuming it doesn't belong in the universe either)? Wouldn’t its proper place be in the ranking system instead?

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26

Or have an Eval function

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27

Using Eval could be a solution, but you would still need a trigger to identify cyclicality or the market regime. At least for me, it would be very hard to define.

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