Performance Update: September, 2008

30Sep08

One of the ways I justify spending this time on the MarketSci Blog is it gives me an opportunity once a month to share with readers our independently-audited trading results. Click for more information about accessing our YK Strategy via either a subscription or managed account.

YK TRADING STRATEGY

I couldn’t have asked more from YK this month. Despite an extremely volatile, scary market, the strategy ducked-n-weaved its way to a +21.3% return (compared to -9.1% for the S&P 500), bringing our annualized return since inception to 150.8%.

Below is a graph of the YK portfolio (green) compared to the S&P 500 (red) and each of the two YK legs (S&P 500 and Russell 2000 in dotted blue) since inception, using Rydex 2x leveraged funds, based on our independently-audited results at Timer Trac.

BASED ON INDEPENDENTLY-AUDITED TRADING RESULTS

I’ll repeat my warning from last month: the strategy continues to perform better in real-time than historical tests and our performance will temper over the long-term.

And a note for subscribers: as mentioned in our most recent daily report, returns for September assuming perfect execution should have been approximately +19.8%.

Click to view our most up-to-date independently-audited Timer Trac results. Note that the Timer Trac graph assumes we always allocated 55% and 45% respectively to the S&P 500 and Russell 2000 legs of the strategy. In actuality, we shift our allocation based on volatility in each index; however, this 55/45 split is a very close approximation. Also note that as of the time I’m posting this, Timer Trac has not yet updated our graph to include our returns for Tuesday 09/30 (hence the reason the graph isn’t quite as good as the results here).

MARKETSCI TRADING STRATEGIES

As we announced earlier this month, we are no longer actively promoting the original MarketSci strategies. MarketSci has had a stellar run over the last nearly three years. Our risk-adjusted performance has been consistently ranked by independent auditing firms as one of the very best in this industry. But it’s become clear to me that our new adaptive YK Strategy is simply a superior all-weather program.

Happy Trading,
ms

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