Systematic US Equities Investing

Well not a good week at all. Interestingly the diversified 1-20 ranked basket did worse than the more focused 1-10 ranked basket (the one presented in this journal)

For the past week:
S&P: +0.23%
NASD: -0.03%
Dow: +1.16%
Rank 1-10: -2.45%
Rank 1-20: -3.01%

Since start of Journal:
Rank 1-10: -4.5%
Rank 1-20: -3.92%

The reason for the slump is because the sectors strongest during the past month (January) have had the worst performances during February. As the model screens for momentum as well those constituted the majority of the holdings this month. Just a temporary hit.

 

I would not get too down on yourself if these results are within the confidence band you have designed for. I'm guessing that your back testing has seen even worse draw downs and given the upside that I see in your system, this is just a part of the ride.

Good that you understand what caused your recent draw down. This helps you to trade through it.

Best,
Granville

 

Most definitely. System has suffered bigger drawdowns and has leaped back.

Speaking of which the 1-10 ranked model has gone positive for the month and is actually up 1.3% since start of journal. Lets see if it can hold or add to these gains tomorrow.

 

For the past week:

Rank 1-10: +6.07%
Rank 1-20: +1.97%
S&P 500: +1.6%
NASDAQ: +1.35%
DOW: +1.833%

Returns since start of journal:

Rank 1-10: +1.3%
Rank 1-20: -2.03%
S&P 500: +0.28%
NASDAQ: -0.51%
DOW: +1.94%

A very good week for the Rank 1-10 portfolio which raked in three consecutive days of 1.5+% returns. Rank 1-20 also beat market benchmarks for the week.

On Friday of next week (Feb 24) going to close off all positions and seek to rebalance for the month of March on Feb. 27th.

 

So, where did the 30+% drawdown come from?

 

That was a performance graph with monthly returns. Although a 30% drawdown occured it still had a great year prior to that so that covered the losses.

Here is a performance graph with annual returns:



You might want to check out the monthly and annual performance data which I posted as a spreadsheet a few pages back.

 

Looks like I posted the wrong NASDAQ returns.

For the past week:

NASDAQ: +0.91%

Returns since start of journal:

NASDAQ: -0.95%

 

so what you doing for the next month ? Going with all new tickers ?

 

Yes. Over the next weekend I will post up the next month's picks for Monday's open.

 

I cannot see so many changes in fundamentals ( like ROE , ROA) in one month , so I guess reshuffling of portfolio is due to TA , right?