FINA 411

3. Also, we set a criterion based on the change in the price to earnings ratio over 251 days to be less than 1.5. We had initially set the change over 252 days which is assumed to be the number of trading days in 1 year, however, after adding the restrictions to do the backtest, we arrived with only 20 stocks at the end of the day when using 252 days.

The reason for including this criterion is because stocks with low price to earnings ratios are more often than not regarded as value stocks and since Miller value investing strategy was focused on stocks below their intrinsic value, this is equally important.

Based on the results from the backtest analysis, I would choose not to invest according to the Miller value strategy because on average, it generated lower returns when compared with the S&P 500 benchmark.

Although we see from the graph that the Miller value starts right by slowly performing above the S&P 500. Citing our results, from January 2010 – February 2010, our Miller value screener has 3.62% returns when compared to the S&P 500 which earned only 2.59%. We also see from our results, that our Miller Value screener started experiencing a decline in March 2012 – May 2012 generating negative returns more than those generated by the S&P 500. Shortly from August 2012 up until 2015, our Miller Value screen seems to be performing slightly better against the S&P 500 benchmark. However, afterwards, we see that our Miller Value screen performs poorly.

2.10 years period will be from jan 2010 - jan 2020

3. 10 years period will be from jan 2010 - jan 2020

We included a criterion based on the debt-to-equity ratio to assess the financial health of the companies. Fisher emphasized the importance of investing in companies with low debt levels. Hence, we set the debt-to-equity ratio to be less than 0.5 for a stock to pass this criterion.

Upon analyzing the backtest results, we found that the Fisher Value Screen outperformed the S&P 500 benchmark during the 10-year period. On average, the Fisher value strategy generated higher returns than the index.

[Insert relevant screenshot(s) of the performance graphs and key statistics here.]