Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for June 2024 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for June 2024 (Final)
1st ETF 2nd ETF 3rd ETF

Do the “Best Companies To Work For” Outperform?

September 21, 2023 • Posted in Sentiment Indicators

A subscriber asked for corroboration of a claim that the “Best Companies To Work For” (BCTWF) substantially beat the overall stock market. To investigate, we:

  • Compile the employee survey-based top 10 BCTWF winners for 2014 through 2022 (nine years, so 90 companies).
  • Optimistically assume winner lists are available by the end of March each year (in fact, it appears to be early April).
  • Filter out private companies, leaving 37 BCTWF with publicly traded stocks.
  • Calculate annual returns for each of these 37 BCTWF stocks from the end of March in the year they win to the end of the next March.
  • Each year, form equal-weighted (EW) BCTWF portfolios and calculate average annual April-through-March gross returns.
  • Compare annual BCTWF EW strategy gross performance to that of Invesco QQQ Trust (QQQ) as a benchmark.

We focus on gross average annual return, standard deviation of annual returns, gross annual Sharpe ratio, compound annual growth rate (CAGR) and maximum drawdown (MaxDD) based on annual data as key performance metrics. We use the yield on 1-year U.S. Treasury bills (T-bill) as of the end of each March to calculate Sharpe ratios. Using annual dividend-adjusted BCTWF and QQQ returns and annual 1-year T-bill yields from the end of March 2014 through the end of March 2023, we find that: (more…)

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Questions?