Systematic US Equities Investing

Discussion in 'Journals' started by mahras2, Jan 19, 2006.

  1. whats the annual return
     
    #31     Jan 29, 2006
  2. mahras2

    mahras2

    For long model? Just flip to the first post.
     
    #32     Jan 29, 2006
  3. mahras2

    mahras2

    Yes I have read O'Shaughnessy's book. Its pretty top notch stuff. I believe he is at one of the big ibanks now after he sold off his fund to Hennessey. You might want to check this link from Harry Domash out if you are interested in O'Shaughnessy's work:
    http://moneycentral.msn.com/content/Investing/Findhotstocks/P86711.asp
     
    #33     Jan 29, 2006
  4. and its should be for any winning strategy. But are you sure that you did it correct (vs. bnmr?) . Both graphs looks the same ( monthly deviation)
     
    #34     Jan 29, 2006
  5. mahras2

    mahras2

    Yes I did it correctly.
    Its not that striking but it does lower it:

    Standard Deviation
    With short benchmark: 6.18
    Long model only: 7.2
     
    #35     Jan 29, 2006
  6. mahras2

    mahras2

    To set some sort of a reference point, here is where I got filled on a marketocracy fund. All positions will be liquidated at the open on 24th February.

    PBR: PETROLEO BRASILEIRO 89.6
    BER: BERKLEY W R CP 48.97
    CRDN: CERADYNE INC 57.51
    TKR: TIMKEN CO 36.20
    NEWP: NEWPORT CP 17.11
    VRTX: VERTEX PHARMACEUT 35.92
    IM: INGRAM MICRO A 18.97
    JNS: JANUS CAP GP CMN STK 21.20
    ILMN: ILLUMINA INC 20.68
    GT: GOODYEAR TIRE RUBBER 19.00
     
    #36     Jan 30, 2006
  7. mc107

    mc107

    Could you show detailed monthly results from 1989 to 2005? Normally Feb is not good month for long based on my results. Maybe your one is different.

    Good luck with your trading.
    Jim
     
    #37     Jan 30, 2006
  8. mahras2

    mahras2

    MC> Just did the averaging since 1989-2005:

    January 6%
    February 5%
    March 1%
    April 7%
    May 4%
    June 0%
    July 3%
    August 2%
    September 1%
    October 3%
    November 5%
    December 3%

    So based off of this I would say it will do pretty well in February. Worried about June though.
     
    #38     Jan 30, 2006
  9. mc107

    mc107

    Can you list the monthly data for each year with top 15 stocks. It appears that Mar, Jun, Sep are not good months. You get a few months breaks while not lose much.

    Thanks,
    Jim
     
    #39     Jan 30, 2006
  10. mahras2

    mahras2

    Talk about a bad time to start up the model. Two big losers on GT and TKR due to earnings announcements. The 20 stock portfolio faring better than the 10 stock from diversification.

    Jim> I will post that over this weekend when I can do a deep scan backtest.
     
    #40     Feb 1, 2006