March | 2016 | iMarketSignals

The iM-BestogaX Index of the Russell1000 holds the so called “Vice” stocks (excluding Gaming stocks), plus the stocks from the GICS-sub-industries: Restaurants, Soft Drinks, and Internet Retail.
This capitalization weighted index outperformed SPY by about 4.5-times from Jan-2000 to Mar-2016.
Over down-market periods the iM-BestogaX Index lost on average 87% less than SPY, and over up-market periods gained on average 24% more than SPY.
Trading systems which periodically select a small number of highest ranked stocks from the Index produced simulated annualized return as high as 34.4% with maximum drawdowns of about -20%.