Backtested results using BI's multifactor methodology show 2.5x greater cumulative money growth and nearly double the annualized return for first-decile Russell 1000 equities vs. those in decile 10 since 2010, with significantly less volatility and a Sharpe ratio almost 3x greater. First-decile stocks show the best combination of momentum, volatility, value and quality factors, and are up 338% from January 2010 (vs. 270% for the index), implying a 14.8% annualized return, accompanied by 17.6% volatility and a 0.84 Sharpe ratio.
Decile 10, or the 10% of Russell 1000 stocks with the least-desirable factor combination, has returned 127%, or 7.9% annually. That group was more volatile, with a 26.1% annual reading and a 0.31 Sharpe ratio.
Decile 10, or the 10% of Russell 1000 stocks with the least-desirable factor combination, has returned 127%, or 7.9% annually. That group was more volatile, with a 26.1% annual reading and a 0.31 Sharpe ratio.