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Not sure if anyone has any ideas, but I'm trying to express the
following idea in AB:
"To get around questions related to inflation we looked at the price
of the 25th cheapest stock in the S&P 500 (5th percentile). Since
1972, when the price of the 25th cheapest stock is below $6 the market
has a GPA of 23%. When the price of the 25th cheapest stock is between
$6 and $16 the market has gained 5%. Finally, the S&P 500 has gained
1% when the price of the 25th cheapest stock is above $16."
So anyone have any thoughts as to how to implement this, I'm guessing,
using ATC?
Obviously you'll have a survivorship bias when looking at the S&P over
time, but I can't figure out how to calculate the bottom 5th percentile.
Thoughts appreciated!
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