As GuruFocus continues expanding its value investing platform across global regions, users can track the performance of their All-in-One Screener strategies using the Backtesting feature.
All-in-one Screener background
GuruFocus’ All-in-One Screener, a popular Premium feature, allows users to either start with a built-in GuruFocus screener or create and save their own value screen. Figure 1 illustrates the GuruFocus Screens, My Screens and the “Save Screener” button.
Figure 1
Backtesting overview
GuruFocus’ backtesting feature allows users to track their value screener’s performance against country-specific benchmarks. The backtesting results should be free of survival bias as all historical mergers, acquisitions, spinoffs and delistings are considered.
Users can click the “Backtesting” button in the “Views (Customize)” section to open the Backtesting tool as Figure 2 illustrates.
Figure 2
As Figure 2 shows, the Backtesting feature requires several parameters: number of stocks, rank by, sort order, start date, end date and rebalance frequency.
- Number of stocks: Select the number of stocks to put into the backtest portfolio. You can select 5, 10, 20, 30, 40, 50, or 100 stocks.
- Rank By: Select the filter used to rank the stocks by. You can select from the active filters in the Screener.
- Sort Order: Select ASC for ascending or DESC for descending.
Examples: Let "n" equal the number of stocks selected. If you select Market Cap DESC, Backtesting will select the n stocks with the highest market cap. If you select PE Ratio ASC, Backtesting will select the n stocks with the lowest price-earnings ratio.
Warning: If you do not select a “Rank By” filter, the default rank is alphabetical order of the stock tickers.
Also, please note that some filters may not be supported by backtesting or for specific periods. Figure 3 illustrates a sample “Backtesting Filters Support Notice” section.
Figure 3
- Start date: Select the starting date for the Backtesting. Premium members can backtest up to three years, while Premium Plus members can backtest all the way to January 2006.
- End date: Select the ending date for the Backtesting. The default end date is the current date.
Backtesting for U.S. stocks
Click on the Green “GO” button to run the backtesting. Figure 4 illustrates a sample backtesting test results chart page for the U.S. region.
Figure 4
As Figure 4 illustrates, Backtesting allows users to track the performance of the model portfolio against the Dow Jones Industrial Average, the Standard & Poor’s 500 Index, the Nasdaq 100 Index and the Russell 2000 Index.
Users can also view the stocks for a specific period by clicking on the desired backtest period. Users can also download the backtest results to Excel by clicking on the “Export Backtesting Result to Excel” or “Export Backtesting Result to CSV” buttons.
Figure 5 illustrates a sample Backtesting Result Charts section.
Figure 5
The “Look Back Returns to Today” table considers the portfolio and benchmark performances during the past several months, while the “Look Forward Returns from Start Date” table considers the performances starting from the backtesting start date. The “Annual Performance” table gives the performances for each year in the backtesting period.
Backtesting for non-U.S. stocks
GuruFocus expanded in September 2020 the backtesting feature to non-U.S. regions. The backtesting for non-U.S. regions goes back to January 2016. Figure 6 illustrates a sample backtesting test result for China.
Figure 6
As Figure 6 illustrates, the index benchmarks used in the backtesting depend on the country / region selected. For example, the benchmarks for China include the Shanghai Stock Exchange Composite Index and the Shenzhen Stock Exchange Component Index. Likewise, the benchmark index for the U.K. is the FTSE 100.
Users must be subscribed to the corresponding region to run backtesting for the countries in that region. Also, backtesting can only be done using one country at a time.
Figure 7 illustrates a sample warning label if a user tries to backtest using all countries in the Asia region.
Figure 7
