Tally for March '06

[FundSurfer]

Last Qtr Last Last
Mar & YTD 6 mon 12 mon 2005 Total

Leaders for Last 3 Months

Namor 1.82% 8.58% 7.50% 11.14% #N/A
andy 3.58% 8.00% 9.17% #N/A #N/A
Phragman 3.33% 7.97% #N/A #N/A #N/A
mailman6 2.84% 7.54% #N/A #N/A #N/A
Fundsurf 2.50% 7.51% #N/A #N/A #N/A
Wheels 2.91% 7.50% #N/A #N/A #N/A

Leaders for Last 12 months

Showme 3.95% 5.74% 11.31% 21.07% 13.43%
Dakota 2.57% 6.68% 11.74% 20.92% 14.01%
Neirbod 3.06% 5.53% 10.13% 17.01% 8.91%
Cowboy 1.33% 6.04% 10.36% 16.05% #N/A
Rokid 2.04% 5.90% 8.24% 15.58% 8.07%
TennisGu -0.30% 1.69% 7.74% 15.34% #N/A
Tekno 0.53% 5.55% 6.06% 14.31% #N/A
mlk_man 3.42% 5.19% 14.09% 13.66% 8.68%
Pyriel 1.07% 4.20% 7.12% 13.34% 7.89%
Rod 1.63% 3.80% 11.08% 12.25% 7.56%

Leaders for March

sugarand 4.26% #N/A #N/A #N/A #N/A
nightlit 3.76% 6.41% #N/A #N/A #N/A
Master 3.58% 4.49% #N/A #N/A #N/A
RichC10 3.49% #N/A #N/A #N/A #N/A
Gilligan 3.47% 3.57% #N/A #N/A #N/A

G-fund 0.36% 1.07% 2.25% 4.36% 4.49%
F-fund -0.93% -0.56% 0.01% 2.33% 2.40%
C-fund 1.29% 4.16% 6.33% 11.34% 4.96%
S-fund 3.84% 9.56% 12.31% 23.41% 10.45%
I-fund 3.33% 9.20% 13.38% 22.56% 13.63%
20% Each 1.58% 4.69% 6.86% 12.80% 7.29%


Attached text file has complete listing.

[Wheels]

I notice Andy is listed on the quarter leaders and that his March total is 3.58% but then he is not listed amongst the March leaders. What am I missing?

Dave
<><

[FundSurfer]

I notice Andy is listed on the quarter leaders and that his March total is 3.58% but then he is not listed amongst the March leaders. What am I missing?

Dave
<><

Yes, I should have mentioned that I only listed people once in order to show more people. It is top down. If they were listed in an upper table they were not available for a lower listing. Since I'm attaching the whole list, I should probably list just the top five in several categories and be done with it. I have not landed on a format for the Tally that I'm totally happy with. I'm always open to suggestions.

[Gilligan]

FundSurfer,
To me it looks like SHOW-ME should be #2 for the "Leaders for March" with a 3.95% return and bump me down. I do appreciate the work and time that you and M_M put in to make this happen.

Gilligan

[mlk_man]

Look at the 6-month return. I'm even beating the "trading goddess"!!!!! LOL

:D

[Gilligan]

Yes, I should have mentioned that I only listed people once in order to show more people. It is top down. If they were listed in an upper table they were not available for a lower listing. Since I'm attaching the whole list, I should probably list just the top five in several categories and be done with it. I have not landed on a format for the Tally that I'm totally happy with. I'm always open to suggestions.

OK,
I just read your reply to Wheels. I guess I should ask questions first before I shoot.

[neirbod]

I have not landed on a format for the Tally that I'm totally happy with. I'm always open to suggestions.

Hi Fundsurfer,

First, thanks for all the work you put into this. It must be a beast to maintain.

I have a suggestion, since you asked. Overall I think this is a great presentation of a lot of data. But, I wonder if the policy of showing people only once is the best way to display the results? It would be simpler for you, and perhaps more informative for others, to just show the top performers for each time range. It would make the "top performers" tag easier to interpret. For example, I may ask "who did best in March?" Quickly glancing at your summary, I may miss that ShowMe had the 2nd best March, unless I carefully examine the table above it and note he was excluded from the "Top of March"
list because he was already on "Top 12 Months" list.

As a user, I am not sure what the advantage is to limiting each TSPer to only one "top performer" table.

Just food for thought. Thanks again for keeping up with this.

Dave

[mlk_man]

I just sent out the weekly tracker with the new allocations for each L fund and also included the monthly totals for everyone.

Sorry Fundsurfer, forgot to do that this time so I guess it meant more work for you....................:blink:

Happy returns,

M_M

[mlk_man]

Here are the L fund returns:


Last Qtr
Mar & YTD
L2040 1.98% 5.74%
L2030 1.77% 5.13%
L2020 1.54% 4.51%
L2010 1.18% 3.52%
L-Income .64% 2.01%

[mlk_man]

Doesn't like to post spaces so I can't make it look pretty.............:(

[FundSurfer]

Sounds like a consensus. Include top performers and don't worry about multiple listings.

I'm thinking that a standard listing might look like:

Top 5 for the month, Top 5 for the preceding 3 months, Top 5 for the year, and Top 10 for the previous 12 months.

I'm listing 10 for the prior 12 months because this seems to me to be a more useful list than the others. Opinions? I'm thinking that this would be the maximum number of list I'd like to do, if you'd like to see an additional list suggest which of the list I've suggested that you would delete.

[FundSurfer]

Doesn't like to post spaces so I can't make it look pretty.............:(

I've found to make it look pretty you need to put it within "code" brackets.

http://www.tsptalk.com/mb/misc.php?do=bbcode#code

[mlk_man]

BTW, several of you are over your e-mail quotas and the tracker is being returned. The tracker is over 5MB so if you have a small e-mail capacity, you may want to sign up for a free e-mail with yahoo or hotmail.

M_M

I just sent out the weekly tracker with the new allocations for each L fund and also included the monthly totals for everyone.

Sorry Fundsurfer, forgot to do that this time so I guess it meant more work for you....................:blink:

Happy returns,

M_M

[grandma]

Yes, Mlk, your trackers are being read - I suppose most of us figure someone has already advised you of any problems...


....don't want to swamp Your mailbox, either!http://i4.photobucket.com/albums/y106/triso/grmamailbox.gif

BTW...has anyone seen/heard from PuertoRico recently??

[mlk_man]

I haven't.................http://i6.photobucket.com/albums/y216/mlk_man/Monkies/hear_see_speak_no_evil_lg_clr.gif

[sugarandspice]

Leaders for March

sugarand 4.26% #N/A #N/A #N/A #N/A
nightlit 3.76% 6.41% #N/A #N/A #N/A
Master 3.58% 4.49% #N/A #N/A #N/A
RichC10 3.49% #N/A #N/A #N/A #N/A
Gilligan 3.47% 3.57% #N/A #N/A #N/A

To whom it may concern,

The name at the top of this list has GOT to be wrong. This kind of information will not only discredit this list but may sway people into thinking that this is some kind of spoof site. I think that name at the top should be masked or deleted in order to maintain credibility. Perhaps even banned altogether from the entire site should be an option. Just my two cents.

[FundSurfer]

The name at the top of this list has GOT to be wrong.

Even a blind hog will occasionally find an acorn.

[SystemTrader]

The funny thing is almost all the top returns so far in '06 have been from newer members. Of course, time will tell which ones will continually outperform. The longer these returns are tracked, the more meaningful they will be. And we'll probably all start putting less emphasis on monthly performance when we see how much variance there is in the monthly leaders.

Having said that, kudos to our top performers. Sugar must have the good Rev's attention by now...

Leaders for March

sugarand 4.26% #N/A #N/A #N/A #N/A
nightlit 3.76% 6.41% #N/A #N/A #N/A
Master 3.58% 4.49% #N/A #N/A #N/A
RichC10 3.49% #N/A #N/A #N/A #N/A
Gilligan 3.47% 3.57% #N/A #N/A #N/A

To whom it may concern,

The name at the top of this list has GOT to be wrong. This kind of information will not only discredit this list but may sway people into thinking that this is some kind of spoof site. I think that name at the top should be masked or deleted in order to maintain credibility. Perhaps even banned altogether from the entire site should be an option. Just my two cents.

[FundSurfer]

I completely agree with systemtrader. I hardly pay any attention to the monthly numbers. I pay attention to the top performers from last year and the top performers for the previous 12 months (this essentially adds techno and cowboy).

Some observations about '06 leaders so far. Most were invested in early January when many were on the sidelines expecting a repeat of last year. Most are long term hold with heavy S-fund and I-fund. Both of these funds have out performed everyone except namor.

BTW. Namor isn't a new member, and he has been kickin butt. He's on a vegas hot streak.

[tsptalk]

BTW...has anyone seen/heard from PuertoRico recently??

He's still lurking.

[Wheels]

Most are long term hold with heavy S-fund and I-fund. Both of these funds have out performed everyone except namor.


Don't penalize them for that. The S and the I have outperformed for years now. Those that have planted themselves there are the smart ones. If I wasn't so dense, that's where I'd be.

Dave
<><

[mlk_man]

Fun with numbers:

For the past 3 months, TSPtalk participants(65) have an average return of 4.54%. This compares with the L2020's 4.51%.

For the past 6 months, TSPtalk participants(37) have an average return of 7.85%. This compares with the L2030's 7.89%.

If you're not doing better than this, you may want to re-think your strategy. :blink:

Happy returns,

M_M

[Dave M]

Exactly. I'm shooting for the L2040 as my benchmark. D

[mlk_man]

Good one to shoot for. I've definitly rethunk mine. I CAN NOT TIME THE MARKET WITH A NOON DEADLINE!!!!!!!!

Although I've done okay this year, I'd be doing a lot better by not timing the market. How much better, I won't bore anyone with.

Just have to be more patient............:nuts:

[GGal]

Just a note....I see my tally stops with 6 months, yet I joined 2/17/05.....I remember there was something peculiar about my thread.....see my first entry showing is an imported thread by Py.....but I have posted my position since beginning......I think I had my thread in the wrong place and it got consolidated.

GA

[mlk_man]

Just a note....I see my tally stops with 6 months, yet I joined 2/17/05.....I remember there was something peculiar about my thread.....see my first entry showing is an imported thread by Py.....but I have posted my position since beginning......I think I had my thread in the wrong place and it got consolidated.

GA

I wasn't tracking then, but last years tracker shows you starting on 07/07/2005. If you had started on July 1st, you would of made the 9-month tally......................

[mlk_man]

Just sent out the weekly tracker for April 8th.

RevShark's return since Feb 1st is 4.25%. This lags the I fund by .46% but is more than 2% ahead of the rest.

My return during this period is 1.77%. I only mention it because I'll be beating him by the end of the year.....:p

[GGal]

I wasn't tracking then, but last years tracker shows you starting on 07/07/2005. If you had started on July 1st, you would of made the 9-month tally......................

My point is, Fundsurfer was tracking me from the time I joined, then somehow I fell through the cracks, I guess with the change in who was tracking.

Nothing is the end of the world except the end of the world.

GA

[mlk_man]

I'm sorry, I'm not understanding your point?

I went back through and started inputting your old moves but after about 30minutes I lost my connection. I guess I should say I'm sorry again, I'm not sure..............

So I guess my point is, why bring it up now? Would of been a lot easier to correct way back when. You know..........

Nothing is the end of the world, unless it's "your" world........

[rokid]

FYI. The attached includes the latest weekly tracker.

[rokid]

FYI. The attached is sorted by return since 31 Jan.

[Wheels]

FYI. The attached is sorted by return since 31 Jan.

Really nice presentation. Thanks again to Rokid, Mlk, Pyriel, Fundsurfer, and anyone else who has had a hand in tracking tsptalk participants. Oh, and I guess we'll throw Tom in there too. Afterall, it is his site.

Dave
<><

[Show-me]

Really nice presentation. Thanks again to Rokid, Mlk, Pyriel, Fundsurfer, and anyone else who has had a hand in tracking tsptalk participants. Oh, and I guess we'll throw Tom in there too. Afterall, it is his site.

Dave
<><
Definitely a big ditto! Very nice presentation! Thank you all.:D

[Griffin]

rokid,

Thanks for the data and your time putting your analysis together.

It is rare that I ever do a multi-fund trade, and when I do, it is only as a short set up to go 100% one way or another. I think it is better to class me as a single fund swing trade.

Thanks

[rokid]

Griffin,

OK, you've got it.

[mlk_man]

FYI. The attached is sorted by return since 31 Jan.

Rokid, why did you chose Jan 31th to start your chart?

[rokid]

Actually, it starts 1 Feb. The chart compares TSPers returns with RevShark's return.

[SystemTrader]

My guess is that's when the Rev's tracking began. We had some discussion about performance since that date, so Rokid probably wanted to see how others (as well as the funds) performed since then.

Just my $0.02. Rokid may have another answer.

Rokid, why did you chose Jan 31th to start your chart?

[rokid]

Systemtrader,

You're exactly right.

I wanted to track how the Rev is doing in comparison to tracked TSPers. I posted my chart because I thought other TSPtalkers might be interested in the comparison.

[tsptalk]

Yeah, Rev started Jan 31 but to simplify things we decided to use Feb 1 to make it easier to compare the return to tsp.gov's monthly prices. I believe it made a difference of about .18%.

Thanks!
Tom

[tsptalk]

By the way, I ordered a bunch of nice TSP Talk stainless steel travel mugs to give away to the winners. They should be in later this week. We'll have to come up with some kind of a plan of attack.

I hope to get more things like shirts/ hats, free month of the newsletter, etc. Ideas welcomed.

Thanks,
Tom

[FundSurfer]

Tom, If you do give out award for Tally, I'd suggest it be for longer term results (ie. last 6 or 12 months total). The monthly winner can occur because of luck. Nothing wrong with being lucky, but I'd rather see a reward go to long term success.

Might want to consider the best calender year return to have a prize, since it is a logical goal for anyone.

As to rewards for the Tally, remember that not everyone is out for the best return. Many are more interested in safe growth with less risky movement. You could set a category for return with minimal moves (ie. less than X moves per year).

Just my immediate reaction, for what it is worth.

[Dave M]

So where do we find the numbers for the reverend Mr Shark? He was not listed on your chart, F-S.

Dave

[tsptalk]

As to rewards for the Tally, remember that not everyone is out for the best return. Many are more interested in safe growth with less risky movement. You could set a category for return with minimal moves (ie. less than X moves per year).

Excellent idea!

[tsptalk]

So where do we find the numbers for the reverend Mr Shark? He was not listed on your chart, F-S.

Current return for the TSP Timing Newsletter vs other funds:

TSP Timing +5.41%
G +1.07%
F -0.94%
C +2.88%
S +3.80%
I +7.34%
20% each +2.83%

[SystemTrader]

While it's more complicated, another nice measure for the risk-conscious would be to divide the return by the maximum drawdown (MDD).

MDD is the largest peak-to-valley drop in a given time period. For example, the S&P 500 had an MDD of almost 50% from 2000 to 2002...from the high of 1500+ in March '00 to the low of 768 in October '02.

When you divide the return over the MDD you have a very good indication of how much return you're squeezing out for your risk (drawdown). Professional money managers and traders watch MDD like a hawk.

Awhile back, I added a couple of columns to calculate the MDD for one of Tom's old spreadsheets I downloaded from here. (You need daily valuations to calculate the MDD, so the current format won't work.)

I may try to dig up that file. However, I'm afraid it's on my old PC which is now resting in peace...

ST

Tom, If you do give out award for Tally, I'd suggest it be for longer term results (ie. last 6 or 12 months total). The monthly winner can occur because of luck. Nothing wrong with being lucky, but I'd rather see a reward go to long term success.

Might want to consider the best calender year return to have a prize, since it is a logical goal for anyone.

As to rewards for the Tally, remember that not everyone is out for the best return. Many are more interested in safe growth with less risky movement. You could set a category for return with minimal moves (ie. less than X moves per year).

Just my immediate reaction, for what it is worth.

[Show-me]

I think a monthly award would be nice. Why should good luck not be rewarded? A good return is a good return if one is luck you will see it in the tally. You really can't eliminate some element of luck from competitions. Also a shorter term will keep us interested and on our toes..................unless the yearly award is a new car. LOL!!!:D

[tsptalk]

More on the awards - I think Fundsurfer had a good idea to have more than one category. And we can have better prizes for the best longer term returns.

The question is, what would the categories be? mlk_man, rokid, FS and some others probably know better than I what would work. If we had a category for people that make no transfers during the month, we may have the same one or two winners each month as there are few here that do that.

I'll let you come up with something that works. I'll give away 2 or 3 of the new TSP Talk travel mugs per month. You just let me know who won and I'll ship them. :)

Then I'll look for some nicer items, like shirts etc., for the longer term prizes. I'll make sure that the folks working on this get something for their trouble.

Thanks!
Tom

[oldschool]

I like system trader's idea of finding some way to recognize low levels of Maximum Draw Downs...

Reveals how truely risky a trader's performance is over time, no?

[mlk_man]

I manage a couple friends 401k's that are limited to one move per month like we use to be so I'd recommend a conservative (<12 moves a year or once a month) versus an aggressive (>12 moves a year) investor.

I don't think a monthly prize is necessary for the conversative investor since we'd probably have a lot of ties. Perhaps a 6 and 12 month prize.

For the aggressive investor, I think monthly, quarterly, and yearly would suffice. I'd even throw in a 6 monther, but that's just me. :D


M_M

[tsptalk]

Good idea mlk - inactive accounts - 6 month awards, or even quarterly. But not monthly.

I'm not so sure about the MDD. A good idea, but as ST says, we'd have to track returns every day. Sounds like a lot of work.

[FundSurfer]

I agree that the MDD indicator would be a good measure of risk. I'm not so sure it will be easy to implement. I'll give the spreadsheet some thought, perhaps I can write a macro that could make the calculations but I'm not promising anything. I'd be against anything that increases the amount of time spent entering data. I've done it for a while with about half as many people as milk_man currently enters data for and it takes a lot of time. I've automated the Tally to a point but there is only so much you can do with a spreadsheet.

[tsptalk]

I agree. Too much work. Plus the spreadsheets would get huge.

It wouldn't be a bad idea for people to do that individually for their own info. But not for one person to tally everyone's.

[oldschool]

Maybe simply looking at monthly divergence from, say, the C fund might be a meaningful but cheap proxy for MDD? If so, that's pretty much in current tracker data. I agree MDD way to much to do as a daily matter.

[SystemTrader]

Though I was the one who brought up the MDD, I agree about the workload. Unless someone could write a macro and automate the process, as FS mentionied, it would be too much. Milk and FS have more than enough on their plates already with the ever-growing number of particants.

Maybe simply looking at monthly divergence from, say, the C fund might be a meaningful but cheap proxy for MDD? If so, that's pretty much in current tracker data. I agree MDD way to much to do as a daily matter.

[Wheels]

Though I was the one who brought up the MDD, I agree about the workload. Unless someone could write a macro and automate the process, as FS mentionied, it would be too much. Milk and FS have more than enough on their plates already with the ever-growing number of particants.

Furthermore I'm not convinced that weighing risk is appropriate for this particular "contest" (or whatever we are calling this). I think highest returns, pure and simple, is the way to go.

Just my 2 cents.

Dave
<><

[Birchtree]

IMHO - 14% of no money is still no money. Often investing behavior is dictated by your balance. Pistol shooting is trying to make a quick hit - where as buy and hold strategy may mean previous arrival. Percentages can certainly be misleading as an indicator of success. Simple though they are.

[Wheels]

IMHO - 14% of no money is still no money. Often investing behavior is dictated by your balance. Pistol shooting is trying to make a quick hit - where as buy and hold strategy may mean previous arrival. Percentages can certainly be misleading as an indicator of success. Simple though they are.

Are you suggesting that this contest should be based on dollars instead of percentages? That's real fair. Don't be so sure you are the biggest dog in this pound.

Dave
<><

[Birchtree]

I will be if I live long enough. There are so many bright days ahead to invest and make green dollars. Most participants with power accounts have a tendency to hesitate - I'm full speed ahead in my own little way. Waiting for the economic slow down and holding a pot full of wall flowers that will spring to life with the right application of superlative bull manure. Wish many times that I were back in New Hampshire - picking raspberries. Take care.

[rokid]

Furthermore I'm not convinced that weighing risk is appropriate for this particular "contest" (or whatever we are calling this). I think highest returns, pure and simple, is the way to go.

Just my 2 cents.

Dave
<><
Even though it means I'm out of the game before it begins, I agree with Dave.

However, how do market timers gauge risk prior to the outcome? Someone suggested number of moves. However, looking at the tracker data, I don't see a correlation (and I really tried to find one ;)) between number of moves and risk (as measured by standard deviation).

Just curious.

[Master]

I think that time to expected retirement (TER), which depends on many personal decisions and values, is the most likely correlate to highly risky moves. In general, typical asset allocations with longer TER have a greater amount of investements in stocks, whereas those with small TER have a greater amount invested into bonds and money markets. The model has been adopted by TSP L funds. In general, the longer the TER, the greater amount of historical return and volatility.

If you plot the TER for TSP members, I suspect that the correlation will hold given a sizeable sample size. Thus, long TER --> greater returns, probably greater allocation into S and I, greater historical return.

FYI: 5-year TSP service - 25 year TER - currently 100% I
but power account due to SEP+IRA earlier in my career + maximizing to max IRA every year.

[SkyPilot]

It's about the percentage, not the sum. What we are testing is who has the best strategy or luck, not who has the most in their fund. Ultimately, the one who produces the best percentage gains over time will likely have the largest amount of cash as well (over time).

Besides, we can all tell who has the best percentage gain strategy by the posted allocations. To determine who has the most cash, wouldn't one have to submit quarterly earnings statements?

As far as weighted risk, etc., wouldn't one also have to assess an individual's risk tolerance and factor that in.... too much work IMO.

It's not broke, don't fix it.

[oldschool]

I agree it's really useful to track "who has the best strategy or luck" - and the longer the period of tracking, and the more consistent the tracked individual is about their strategy, the more meaningful tracking based on who has the best percentage gains.

However, it seems to me the value of MDD or other attempts to quantify risk undertaken is that it allows more meaningful comparison of different individuals with shorter track records. And it helps control for strategies/styles that might work great in certain types of market trends but not others - even if you only have a short tracking period. At least that's why I think the professional money managers seem to use something more than just percentage gained/lost for their assessments.

Now do I believe we should further complicate the tracker - No! Just sharing my view that there is real value in a more layered analysis of performance - some may undertake this on their own....

Oldschool

[Wheels]

However, it seems to me the value of MDD or other attempts to quantify risk undertaken is that it allows more meaningful comparison of different individuals with shorter track records.

The problem is there is no real way to measure risk. Whichever method you choose it's based on what happened. Risk has everything to do with what might have happened. I personally feel it's a little risky being in stocks right now. If stocks go up from here without a significant pull back, that doesn't necessarily mean it was not risky to be in them.

Another 2 cents.

Dave
<><

[rokid]

Oops, I'll have to disagree for someone holding a passive portfolio. However, you might be absolutely correct for a market timer.:cheesy:

Most financial researchers equate volatility with risk and assume a normal distribution of returns. Consequently, using historical data, two standard deviations from the mean give you the possible range of returns with 95% probability.

In my case, if the future looks anything like the past in terms of average returns and volatility, I expect to receive an average 11.7% portfolio return, +- 19.4%, with a 95% probability. In other words, I can expect a portfolio return in the range of 31.1% to -7.7%. If that's too risky, I can dial up the bond allocation, e.g. to 50%, and receive a lower average return with lower volatility. If I feel lucky (which I don't), I could dial down the bond allocation to zero, go 100% stocks and receive a higher average return with higher volatility.

For example, with 100% C Fund, you can expect an average 12.6% return, +-17.2% (based on 1970-2005 data). In other words, a return in the range of +47% to -21.8%. We haven't seen that +47% recently, but we saw -22.1% in 2002.

Therefore, using statistics and historical market data, I can predict what my returns will be, not perfectly, but within a reasonable range of values. I can also determine, before the fact, whether or not my portfolio is risky compared to other possible portfolios.

[Wheels]

In my case, if the future looks anything like the past in terms of average returns and volatility

Big If!

Dave
<><

[rokid]

Big If!

Dave
<><
Perhaps. However, the market data from 1926-2005 is pretty consistent. In addition, I've seen domestic market data back to 1800s that basically tells the same tale. Finally, the purpose of probability theory is to predict the future. Otherwise, we're totally in the dark. :blink:

[Wheels]

Perhaps. However, the market data from 1926-2005 is pretty consistent. In addition, I've seen domestic market data back to 1800s that basically tells the same tale. Finally, the purpose of probability theory is to predict the future. Otherwise, we're totally in the dark. :blink:

You may be right. I'm not really thinking of it mathmatically as much as practically. If Evil Knevil jumps a bunch of buses successfully 9 times in a row, and then wipes out bad on the 10th try, does that mean that the 10th try was the only risky one? Was there any less risk for the 9 previous attempts?

As far as investing you said it yourself when you asked, How do market timers gauge risk prior to the outcome?

In any event, I'm game for whatever our trackers decide. I just thought that highest returns was the easiest way to go.

Dave
<><

[SystemTrader]

Like Rokid, I have also looked at the data for the last 60-80 years and also think it's pretty consistent. And from what I've seen, a robust, well-tested strategy with historical low risk/drawdowns is likely to have low drawdowns in the future. That's why I think it's important to measure downside risk (not just standard deviation) if you want a better idea of future risk. (Note to Rokid: check out the Sortino Ratio if you want to see a measure of downside risk used in academic finance:
http://www.investorwords.com/5793/Sortino_ratio.html)

Case in point: I just tested a system first published in 1995. One of its key selling points was its low drawdowns. Before its release, it had the following backtested performance from 1942 to 1994:

Compound annual return 10.06% vs. 7.33% for the S&P 500 (dividends not included)
Max Drawdown: 12.94% vs. 48.20% for the S&P 500 (in 1974)

Ok, so what happened if you began trading that system real-time starting 1/1/1995 until today's close? You'd have the following performance:

Compound annual return 11.91% vs. 9.70% for the S&P 500 (dividends not included)
Max Drawdown: 10.80% vs. 49.15% for the S&P 500 (in 2002)

It sidestepped the 2000-2002 bear market in almost the exact same way it avoided the 1973-74 meltdown.

A key tenet of market timers/technical analysts is that markets are the products of human emotions--specifically fear and greed. Since human nature doesn't change, neither do the patterns or relationships that create risk and reward. If a market timer can detect such patterns (and prove it with a significantly long history of low-drawdown results), then my money is on them continuing to avoid excessive risk in the future.

ST








Perhaps. However, the market data from 1926-2005 is pretty consistent. In addition, I've seen domestic market data back to 1800s that basically tells the same tale. Finally, the purpose of probability theory is to predict the future. Otherwise, we're totally in the dark. :blink:

[rokid]

SystemTrader,

Makes sense. If you back test your strategy against historical market data, you can predict average portfolio return and risk. If you don't, you have to learn from experience whether or not you're pursuing a risky strategy.

I'll also check out the Sortino Ratio. Thanks.

[Master]

This is an interesting link about the Sortino ratio and the indexes (see figure 2) including SP500, DOW, NASDAQ and EAFE. I suspect they would look somewhat different if instead of 1/90 - 3/04, they had used 1/00 - 12/05.

http://www.turtletrader.com/JWHUndertheHoodofVariance.pdf

[Aslan]

Am I still being tracked at 30% C, 30% S, 40% I?

Just wondering as I've been there since 10/05.

Again, it would be good to place this up as an aggresive buy/hold allocation vs. what everyone else is doing.

Thanks

Aslan

[tsptalk]

Hi Aslan. How have you been?

I believe "The Tracker" (mlk_man) has required everyone, even the buy and holders, to check in at least once per month into their account so we know you are still around. This is to avoid tracking the people who pop in once then never come back.

[Aslan]

Gotcha,

I'm fine. I didn't feel the need to post since I was a buy/hold person right now. I've been at that allocation for 6 months, and was just wondering how it stacked up against all the active traders. That's all. No big deal

[FundSurfer]

Aslan
2.44% 4.97% 10.24%
Apr Last Qtr YTD
Aslan, here would be your numbers.

[Aslan]

Thanks