Systematic US Equities Investing

Quote from 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.
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stats/odds are on your side
 
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.
 
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.
 
Quote from 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.
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how is your portfolio weighted ?
 
Quote from IV_Trader:

how is your portfolio weighted ?
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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.
 
Quote from mahras2:

Mc102> Here is the monthly performance data for Jan 1989-Dec 2005 for the top 15 stocks per holding period (1 month).
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what is your total return on portfolio ( from 1989) ? Long only
 
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%
 
Quote from 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%
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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.
 
Quote from IV_Trader:

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.
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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.

perwinningmonths.GIF


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.

rolling12monthperf.GIF


Now I shall wait to be proven wrong :)
 
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