StrategyDriven wrote: ↑Fri May 14, 2021 12:02 pm
D1984 wrote: ↑Fri May 14, 2021 5:46 am
StrategyDriven wrote: ↑Thu May 13, 2021 2:38 pm
D1984 wrote: ↑Tue May 11, 2021 4:16 pm
Two, the QQQ (NASDAQ-100) data on the benchmark is incorrect; for instance, QQQ had a return of just over 100% in 1999, a bit over 80% in 1998, and actually had a positive return (barely) in 1987. Your benchmark data seem to contradict this. Are you sure you're not using the NASDAQ Composite instead of the NASDAQ-100 as the benchmark?
I just checked, I was able to get Nasdaq 100 daily detail back to 1986 and used Composite before that. I tried to simulate 100 from Composite and just couldn't get it so used that 6 year period off Composite not a sim100.
Interesting....how did you try to simulate the NASDAQ-100 from the NASDAQ Composite? Doesn't the regular the regular "composite" NASDAQ Composite contains financials as well which the rules of the NASDAQ-100 purposefully exclude?
Anyway, I didn't try to sim it from the Composite. My data was from GTR1 and it was based on all the (non-financial) stocks in the Composite using all the rules (as regards market cap weight, ADR and REIT inclusion or non-inclusion, share classes, etc) that the NASDAQ-100 uses....basically a "NASDAQ-100 had the NASDAQ-100 actually existed since December 14, 1972" (because that's only as far back as the CRSP has data on every single NASDAQ Composite stock). I have this one back from late 1972 to early 2021 and its monthly correlation with the actual NASDAQ-100 from 1-1-85 to 2021 is very high.
Just a word of warning, though....the simulated NASDAQ-100 wasn't always as growthy or as large-cap as it is today....in fact, IIRC it actually had a positive return in 1981 (and if you look at a list of the 35 stocks in the NQB Industrials OTC index as of the early 1970s--said index being a "35 of the largest cap OTC stocks" i..e sort of a NASDAQ megacap index prior to the NASDAQ-100 or the NASDAQ system itself even existing--you will see maybe three or four high-growth volatile techish companies and otherwise plenty of boring "basic stuff" companies like Tampax, Berkshire Hathaway, Cannon Mills, Anheuser Busch, Hoover (of vacuum cleaner fame), Hyster (forklifts), etc)! If I wanted to simulate a volatile growth stock index prior to the NASDAQ-100 I'd probably use a 50/50 annually or quarterly rebalanced blend of the simulated NASDAQ-100 and the Zero-Yield 100....also from GTR1 and which I also have daily data for (all the way back to 1926).
If you want to share that info - it sounds like it would be better than using Composite!
QQQ proxy back to 1926; what this is is the Zero-Yield 100 from 1926 to 12-13-72 or 12-14-72 or 12-15-72 then the simulated NASDAQ-100 after that from late Dec 1972 to the roughly the end of April 2021 which is when I used GTR1 to output this (note that even after 1-31-85 this still uses the simulated NASDAQ-100 from GTR1 rather than the actual one from NASDAQ. Also, be aware that--IIRC--the simulated NASDAQ-100 equal weights any new additions to the index rather than cap weighting them immediately (this is rectified when the index reaches its next annual rebalance) so during certain times--especially when highly volatile high multiple midcap growth and large-cap growth stocks are doing well like 1998 or 1999--it may somewhat understate returns vs the actual NASDAQ-100 but overall I have found it to have a very high correlation with the actual NASDAQ-100.
Oh, and also note that the data from GTR1 includes reinvested dividends whereas the actual "classic"
real NASDAQ-100 does not (NASDAQ OMX does provide a separate TR with dividends reinvested version of the NASDAQ-100 but that only starts in 1999 and not 1985 or '86)
https://easyupload.io/k11xnt
Zero-Yield 100 from 1926 to almost the end of Dec 2018 (I can explain more about what this is, how it was derived, and what stocks it contains/how it was weighted, etc if you wish)
https://easyupload.io/pbslha
And lastly, just for kicks and in case you don't you have them but would like them here are the actual (monthly, not daily......I don't have those at the present time) returns for the actual real NASDAQ-100 price index from Feb 1985 to Sep 1985 (after that Yahoo Finance has daily data for the NASDAQ-100 PR so monthly data is kind of pointless).
Month of September 1985 = -6.491%
Month of August 1985 = -4.032%
Month of July 1985 = 0.925%
Month of June 1985 = 2.090%
Month of May 1985 = 3.692%
Month of April 1985 = -1.687%
Month of March 1985 = -4.987%
Month of February 1985 = -1.184%