Strategy Performance: June, 2009

05Jul09

All of the results below have been independently-audited in real-time by at least one third-party. Visit MarketSci.com for links to third-party audits and to learn more about accessing our strategies via a managed account or subscription.

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Note: I’m going to start showing just our four flagship programs in this monthly return table. Things were getting too cluttered with all of the original MarketSci variations; it made it look like those strategies were a bigger part of our business than they actually are. You’ll now find monthly returns for non-flagship programs listed under the table, and of course, in our summary stats.

Hmmm…what to say about June…

I’m not concerned that any single strategy performed poorly this month; real traders take their lumps. But I’m a little miffed that all four families of strategies performed poorly in the same month (despite their low correlation). Having said that, based on the fact that each underperformed during different parts of the month, I don’t think it points to anything bigger than a confluence of unrelated unprofitable trades.

This was our 5th worse combined monthly performance (see graph below) since our independently-audited track record began.

The equity curve below shows our combined real-time monthly performance since inception vs the S&P 500, assuming an equal investment in each family’s flagship program: MarketSci ProFunds, RH S&P 500, YK (A and B), and Scotty.

COMBINED REAL-TIME PERFORMANCE vs S&P 500

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SUMMARY OF ALL PORTFOLIOS SINCE INCEPTION
SORTED FROM MOST TO LEAST AGGRESSIVE *

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Notes: (1) results account for transaction costs, but not subscription or managed account fees, (2) YK(B) returns reflect performance after addition of “abnormal market filter” in late October, 2008 (read more), (3) table sorted from highest to lowest measured volatility and may not reflect future performance.

* * *

One of the ways I justify spending my time on this blog is it gives me an opportunity once a month to share these independently-audited trading results. I really hope you enjoy my ramblings each week, but developing these proprietary strategies is really what I do, and I invite you to find out more about accessing our strategies via a subscription or managed account.

Happy Trading,
ms

 

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Filed under: My Performance   |  2 Comments

2 Responses to “Strategy Performance: June, 2009”  

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  1. 1 T-Gunn on July 30, 2009 said:

    MS,

    Seems like I saw in another’s response that there was some lag in the audited numbers. How does this affect your stated returns? That doesn’t mean that the signal itself lagged by a day or more, does it? That would concern me as a potential investor.

    I absolutely love this blog. As a recovering broker and BnH’er, it’s refreshing to see others with the same outlook and not be called a blaspheming crazy person…

    Thanks for all you do! (Though I think you really enjoy it…)

    Tommy

    Reply
    • 2 marketsci on July 30, 2009 said:

      RE to Tommy: the signal itself isn’t lagged (in terms of what is sent to subscribers and managed accounts), but the audited results at Timer Trac are. Timer Trac delays reporting strategy results by at least one day so that someone couldn’t follow the strategy just using the track record.

      And thanks for all the kind words! michael

      Reply

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