FundSurfer
01-14-2005, 08:02 AM
2004 Average Daily Gain by Day of the Week
Fund Monday Tuesday Wednesday Thursday Friday
G 0.03% 0.01% 0.01% 0.01% 0.02%
F 0.00% 0.03% 0.01% 0.01% 0.03%
C 0.06% 0.12% 0.09% -0.04% -0.01%
S -0.02% 0.23% 0.10% -0.08% 0.11%
I 0.05% 0.09% 0.02% 0.07% 0.14%
2004 Maximum Possible Gain
(If you had picked the right fund to be 100% invested each day.)
149.34%
2004 Maximum Possible Loss
(If you had picked the worst fund to be 100% invested each day.)
-123.99%
What I didn't post was the standard deviation for those weekday numbers. As you might imagine, they were very high, which means highly variable.
However, I think we can say a couple things. G gives the penny most often on Monday. Interest accrues daily whereas the market only goes up/down on trading days. Therefore if the penny was due Sat/Sun/Mon, then Monday get it.
If we were to use this to allocate, we would have allocated:
Monday C, Tuesday S, Wednesday S, Thursday I, Friday I
Your return for 2004 would have been 30% if you'd used this formula.
My bet is that this method would not back test well. Probably very badly.
Fund Monday Tuesday Wednesday Thursday Friday
G 0.03% 0.01% 0.01% 0.01% 0.02%
F 0.00% 0.03% 0.01% 0.01% 0.03%
C 0.06% 0.12% 0.09% -0.04% -0.01%
S -0.02% 0.23% 0.10% -0.08% 0.11%
I 0.05% 0.09% 0.02% 0.07% 0.14%
2004 Maximum Possible Gain
(If you had picked the right fund to be 100% invested each day.)
149.34%
2004 Maximum Possible Loss
(If you had picked the worst fund to be 100% invested each day.)
-123.99%
What I didn't post was the standard deviation for those weekday numbers. As you might imagine, they were very high, which means highly variable.
However, I think we can say a couple things. G gives the penny most often on Monday. Interest accrues daily whereas the market only goes up/down on trading days. Therefore if the penny was due Sat/Sun/Mon, then Monday get it.
If we were to use this to allocate, we would have allocated:
Monday C, Tuesday S, Wednesday S, Thursday I, Friday I
Your return for 2004 would have been 30% if you'd used this formula.
My bet is that this method would not back test well. Probably very badly.