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.
Apologies for the late report this month…been buried.
August was a very blah month across the board as most of our strategies had little exposure to the market as a result of the abnormal market filter.
RH was the month’s leader, making a bit of headway chipping away at July’s drawdown, and is up again nicely so far this month. YK gave back a bit of last month’s big gains and is still struggling at the moment.
Two Big Changes to Talk About
First, the original MarketSci strategies…
We’ve been alluding to this coming down the pipe for a while: I officially retired the original MarketSci strategies effective the end of August.
These were my first foray into developing programs professionally, and they’ve had an outstanding run over the last 44 months. The flagship ProFunds program was ranked #1 at Theta Research for risk-adjusted performance in its first two years trading, and we were able to do some real good for folks. I’m happy about that.
But I just don’t feel that these strategies represent our best work today, or are as robust as the strategies I talk about on this blog or those we represent through our Timer Seeds program. Though the loss of revenue is always painful, I can’t accept not putting our best foot forward.
Of course, unlike some less savory characters in this business, we will be carrying the original MarketSci programs indefinitely in our summary stats and combined portfolio graph (ending 08/2009), and independently-verified results will always be available.
And second, to RH…
For the uninitiated, RH is a product of our Timer Seeds program and is the only strategy I talk about on this blog that I didn’t directly develop. Because of that, and the fact that I try not to impose my own thoughts on our Timer Seeds (lest they all start to look the same), RH doesn’t include things like the abnormal market filter.
But July made painfully clear that group-think be damned, some of those concepts needed to be applied to RH, and I’ve worked with the developer to do just that.
A new overlay was applied to RH late in August. By overlay I mean that I’m not changing the developer’s underlying signal (long/short/cash) so RH’s success or failure is still squarely on the shoulders of RH. But we’ll be reducing exposure at times to reduce downside volatility (hopefully without sacrificing return). Managed account holders will have already noticed drastically reduced position sizing.
* * *
The equity curve below shows our combined real-time monthly performance vs the S&P 500, assuming an equal investment in each family’s flagship program: MarketSci ProFunds (through 08/2009), RH S&P 500, YK (A and B), and Scotty.
COMBINED REAL-TIME PERFORMANCE vs S&P 500
SUMMARY OF ALL PORTFOLIOS SINCE INCEPTION
SORTED FROM MOST TO LEAST AGGRESSIVE *
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
To stay up to date with what’s happening at the MarketSci Blog, we recommend subscribing to our RSS Feed or Email Feed, or following us on Twitter.
Filed under: My Performance | 8 Comments
-
Subscribe to RSS Feed
Subscribe via Email
My email: michael @ marketsci.com (remove spaces)
Thanks for the review, interesting decision re the old strategies, since they had a record that by traditional standards would be considered pretty good, but I understand your decision to drop them.
Also wanted to say thanks for tweeting when the SOTM is posted every night. It saves a lot of checking the web page!
A very noob question:
How do you create the graphs :D ?
RE to Soham: just Excel. I wish I had a more impressive answer =) michael
Hi Michael
I recently saw your blog, it is very interesting. I was not sure where to post this so I just placed it here at your most recent entry. I have a Direxion acct and saw a notice on their website indicating that as of 9/30/09, they are moving away from daily rebalancing of their mutual funds in favor of monthly rebalancing.
I interpret this to be a bad thing (assuming you need to have the capabililty of being able to switch funds on a daily basis), based on the following: If you go long the fund that has 2.5x the leverage of the SPX, for example, you will know what to expect for the next day, using daily rebalancing: approximately 2.5x or -2.5x (if you guess wrong) of the daily spx performance. However, under the monthly rebalancing scenario, it seems like you dont really know how much rebalancing will take place from day to day, or even whether the closing price of the corresponding Direxion fund will be of the same sign (i.e., pos or neg) as the index it is based on. In other words, monthly rebalancing will allow Direxion to close their funds with a much greater leeway on a day to day basis, as long as they hit the 2.5x target on the once-a-month rebalancing date.
I called Direxion but the rep didnt really tell me anything that provided a good explanation of how it works or whether the above will actually happen. Does the above interpretation seem reasonable to you, or am I missing something? ANy thoughts on this appreciated, thx.
RE to Mike: I’m not sure yet what the specific impact will be – will need to see the funds in action. I don’t think it’ll turn a good strategy into a bad one (or vice-versa) but I do expect a likely negative impact b/c they’re moving away from the assumptions we made when originally designing our strategies.
We don’t do hardly any business w/ Direxion (almost exclusively with ProFunds/Rydex) so not a lot of impact on this side of the fence, but I think a post is in order warning any subscribers who might be trading there. On the to do list. Thanks.
Michael
But my Excel charts are very very sore on eyes… :(
Mine is Excel 2k3.
Gotta go with Excel 2007. It’s big and bloated and tends to crash when working with a lot of data, but damn it makes pretty charts. ms
Roger that!