ROIC investing strategy.

View the graphs and diagrams here: Imgur: The magic of the Internet

I created a python program that simulates buying the stocks with the highest ROIC among the 250 first stocks of the sp500 when sorted in alphabetical order (not ticker) from 2010 to 2023. First 250 from this list: List of S&P 500 companies – Wikipedia. Only the 250 first stocks to reduce API costs. I used the FMP api.

It buys and sells the stocks at the start of every year, and buys an equal $ value amount of each stock, without taking stock price into consideration. Like for example buying 1.5 of a stock or 0.67 of a stock to make sure all the stocks are weighted equally.

Neither dividends nor transaction cost taken into consideration.

Results:

Overall Return of the Strategy: 1222.37%

CAGR: 21%

Overall Return of the S&P 500: 320.99%

Sharpe Ratio of the Strategy: 0.94

Standard Deviation of Excess Returns: 0.00923

T-test Results:

t-statistic = 1.2348

p-value = 0.2169

With a p-value of 0.2169 its not a statistically significant strategy when using the standard significance level of 5%. The sharpe-ratio 0.94 also tells us that it has a higher risk/reward ratio compared to the s&p500 with a sharpe of 1.06. However i still find it to be an interesting dicovery, and i believe other people will as well.

Any thoughts?

edit: add years