Dow versus SP500 versus Naz all time

[SoyUnGanador]

So you're saying there was an 83% DD in the Q's in fall 2022? Hnh. I missed that one!

No, and least no based on what I think you are saying. 10/9/2002 was when they hit their low. That was an 83% more/less drawdown from their previous high, which it looks like was on 3/27/2000. Over 2 years of agonizing pain.

If that sounds wrong to you, let me know. I whip these things out fast sometimes, more than willing to go back and double check things.

 

[SoyUnGanador]

Dow is value, NASDAQ is growth & S&P 500 is a 1:1 mix. If you read about value vs. growth long term, value always wins hence DJIA outperforms in the long term.

I remember reading What Works On Wall Street (James P. O'Shaughnessy) in 1999 and it covers every scenario possible and micro cap value was the best long term but since the market cap & liquidity factors limit its buy-ability large cap value was the winner. I think the authors also found that using momentum as an additional factor to value was useful in alpha. I think O'Shaughnessy used low price-to-sales as value, if I remember correctly.

Oh that is funny nitrene. I don't remember the "What Works on Wall Street" name, but I remember the O'Shaughnessy name, I very well may have read that very book. Going to order it, want to see if I remember it, and it will be a fun read regardless.

It seems over the years I've read some studies/books that seem to say value wins, some seem to say that growth wins. Maybe they are talking about different time periods.

 

[SoyUnGanador]

Question for you guys. I want to run a test on holding one of QQQ/SPY/DIA at all times, but at different times, to see if one can materially beat holding just any of the three of them alone. Thoughts on the criteria that should go into determining which one of the three someone should hold at any given time? Initial thoughts on possibilities:

1. VIX levels. VIX is very low, hold DIA. VIX is middle range, switch to SPY. VIX has spiked, switch over to QQQ.

2. Performance relative to one another. The default is [SPY], but if the [DIA] has pulled back more than X% versus the [SPY] you switch to [DIA], unless the [QQQ] has pulled back more than Y% against the [SPY], then you switch to that. Something like that.

Any other ideas? Thoughts?

Thanks!

 

[Overnight]

Question for you guys. I want to run a test on holding one of QQQ/SPY/DIA at all times, but at different times, to see if one can materially beat holding just any of the three of them alone. Thoughts on the criteria that should go into determining which one of the three someone should hold at any given time? Initial thoughts on possibilities:

1. VIX levels. VIX is very low, hold DIA. VIX is middle range, switch to SPY. VIX has spiked, switch over to QQQ.

2. Performance relative to one another. The default is [SPY], but if the [DIA] has pulled back more than X% versus the [SPY] you switch to [DIA], unless the [QQQ] has pulled back more than Y% against the [SPY], then you switch to that. Something like that.

Any other ideas? Thoughts?

Thanks!

I think 1 is a red herring. There is no correlation between VIX and the indices reflecting behavior these days.

I think 2 is a valid idea, but will not work during earnings season, which was definitely noticeable the last two reporting sessions, and during this high interest rate environment because the Dow is bank/retail heavy and as you can tell, the SP and Nas are up for the year, but the Dow is now negative for the year. It is a cluster.

 

[TheDawn]

In several threads, after doing some testing, I posted what beasts the QQQs seem to be versus other ETF/CEFs, etc.

But I don't think I've compared them to SPYs or DIAs since their inception. Only more recent times.

So I just compared the QQQs and DIAs and SPYs since the inception of the QQQs, which apparently came to life most recently, on 3/10/1999.

I thought for sure the QQQs would win.

And, turns out, they do win from an absolute performance standpoint. Stats for the 3 for that period:

QQQs - IRR 8.26%, max DD 82.96% (ouch!), the former divided by the latter being 9.95%

SPYs - 6.72%, 55.19%, and 12.18% respectively.

DIAs - 7.51%, 51.87%, and 14.48% respectively.

So from a performance to DD perspective, they don't look so hot. The DIAs looking like the best of the 3.

Side note: I was thinking that the max drawdown on the QQQs must have been during like 2000 or 2001, but it was actually hit on 10/9/22. The previous high against it was measured was hit on 3/27/2000. A long time to be feeling that huge drawdown.

Anyone know how this epic battle shakes out, all time? SP500 versus Naz (or whatever is closest to the QQQs - looks like NASDAQ 100), versus Dow Jones Industrials? In each case whatever the QQQs, SPYs, and DIAs are based on.

I seem to remember someone posting recently that the DJI or whatever actually outperformed the NASDAQ over the very long term, and of course it would have less drawdown. But the outperforming it part surprised me a bit!

This is what I find: If the cause of the market movement is from tech company(ies), Nasdaq will move the most and Dow Jones will move the least. When the cause is non-tech-based company(ies), Dow Jones will move the most and Nasdaq will move the least. SP 500 will always move somewhere in between. It's really due to the makeup of the three indices with Nasdaq having the highest % of tech companies and Dow Jones having the highest % of non-tech companies and S&P 500 being somewhere in the middle with a slightly higher proportion of it being made up of tech. companies.

 

[jys78]

No, and least no based on what I think you are saying. 10/9/2002 was when they hit their low. That was an 83% more/less drawdown from their previous high, which it looks like was on 3/27/2000. Over 2 years of agonizing pain.

If that sounds wrong to you, let me know. I whip these things out fast sometimes, more than willing to go back and double check things.

"I was thinking that the max drawdown on the QQQs must have been during like 2000 or 2001, but it was actually hit on 10/9/22."

 

[SoyUnGanador]

Ah, I see. Thank you for catching typo!

 

[destriero]

Question for you guys. I want to run a test on holding one of QQQ/SPY/DIA at all times, but at different times, to see if one can materially beat holding just any of the three of them alone. Thoughts on the criteria that should go into determining which one of the three someone should hold at any given time? Initial thoughts on possibilities:

1. VIX levels. VIX is very low, hold DIA. VIX is middle range, switch to SPY. VIX has spiked, switch over to QQQ.

2. Performance relative to one another. The default is [SPY], but if the [DIA] has pulled back more than X% versus the [SPY] you switch to [DIA], unless the [QQQ] has pulled back more than Y% against the [SPY], then you switch to that. Something like that.

Any other ideas? Thoughts?

Thanks!

lol you want to run a test. As if. About as likely as you running a Marathon. You're allergic to money.

 

[destriero]

Oh sht, he's already on to me! Refresh, REFRESH!

 

[SoyUnGanador]

LOL, you showed up here too, hoping to draw attention away from the other thread where you had been posting before and where you suddenly started talking about sucking dicks and I called you out on your "happy" guy friends being thrilled. The truth always comes out fat thing, no matter how much you try and hide it.

Its OK, fat thing, everyone, even short, fat, bald, ugly things will naturally low hormone levels need love. You have never and will never even sniff a girl, so you do what you need to do to feel loved. Go get you some fat thing!!!