Systematic US Equities Investing

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

  1. stats/odds are on your side
     
    #41     Feb 1, 2006
  2. mahras2

    mahras2

    Exactly. Its all in the odds. I am reading this book called the Theory of Poker. Pretty solid book from what I can see. Spends like the first 30 pages basically emphasizing about positive expectation on bets and the need for discipline.
     
    #42     Feb 1, 2006
  3. mahras2

    mahras2

    First week's results from the marketocracy fund (accounts for slippage+commissions):

    S&P: -1.53%
    NASD: -1.81%
    Dow: -1.04%
    Rank 1-10: -2.1%
    Rank 1-20: -0.94%

    Not too bad. The focused 1-10 picks took a big hit due to GT and TKR plummets after earnings (approx -15% on both). The diversified did fine even with the two hits.
     
    #43     Feb 4, 2006
  4. how is your portfolio weighted ?
     
    #44     Feb 4, 2006
  5. mahras2

    mahras2

    Equal allocation to the picks. So for the 1-10 ranked portfolio, each pick is ~10% of it. For 1-20 each is ~5% of it.
     
    #45     Feb 4, 2006
  6. mahras2

    mahras2

    Mc102> Here is the monthly performance data for Jan 1989-Dec 2005 for the top 15 stocks per holding period (1 month).
     
    #46     Feb 4, 2006
  7. what is your total return on portfolio ( from 1989) ? Long only
     
    #47     Feb 4, 2006
  8. mahras2

    mahras2

    Total Return from 1989-2005:

    Rank 1-5: +283405.34%
    Rank 1-10: +83178.74%
    Rank 1-15: +65878.59%
    Rank 1-20: +33565.84%
    Rank 1-25: +31312.34%
     
    #48     Feb 4, 2006
  9. I see. By taking a quick look at the file , here what I'l point out :

    drastic slow down in pace of outperforming the Index that started in Oct 02. Since this day , portfolio gained 93% vs. 41 of SPX.
     
    #49     Feb 4, 2006
  10. mahras2

    mahras2

    Yes I have noticed that. Historically, it seems that this has occured in the past. Here are two charts I am viewing:

    This one is basically how many months on a rolling calender basis has the 1-15 ranked stocks of the model beaten the market. As you can see it has been recovering rather steadily so no critical red signs there of edge diminishment.

    [​IMG]

    The second chart is a model-benchmark chart on a 12 month rolling basis. It looks like although returns have faltered it looks to be recovering. Naturally I dont expect the model to keep working forever, however, I believe its robust enough to attain quite a few more market beating years.

    [​IMG]

    Now I shall wait to be proven wrong :)
     
    #50     Feb 4, 2006