Strategy Performance: January, 2010
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.
YK and Scotty both performed well for the month with returns of +3.2% and +1.9% (versus -3.7% for the S&P 500), and both are off to a strong start again in February.
RH struggled, and as previously announced, despite 44-months of big returns (+48%/+39% annually in the S&P 500 and Russell 2000 variations) we decided to end coverage on the program effective the end of the month (read more).
We take great pride in the fact that we do not cherry-pick returns, so RH will remain in our summary stats and combined performance graph (through 01/2010) indefinitely, and the audited track record will always be available at MarketSci.com.
The Enhanced S&P 500 (EI S&P 500) is our newest program (launched 10/2009)
Most of our programs target absolute returns, meaning they’re designed to profit regardless of market conditions. EI S&P 500 is something very different. It’s designed to move like the market, but to do it without about half the downside risk. Put another way, we’re building a better, smoother S&P 500.
Specifically we have 5 targets over the life of the program: (1) outperform the S&P 500, (2) and (3) reduce peak and average S&P 500 drawdowns by half, (4) outperform the S&P 500 in at least half of all months, and (5) exhibit greater than 80% monthly correlation to the S&P 500.
We’re currently meeting 4 out of 5 of those goals (see summary stats). Note that because these program goals are so different, we separate EI S&P 500 results from our existing programs.
EI S&P 500 trades infrequently, does not go short, does not use leverage, and does not require monitoring the market intraday. We’ll be updating the blog and MarketSci.com in the future when the program is available for subscription and/or managed account.
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The equity curve below shows our combined real-time performance vs the S&P 500, assuming an equal investment in each flagship program: MarketSci ProFunds (through 08/2009), RH S&P 500 (through 01/2010), YK (A and B), and Scotty.
COMBINED REAL-TIME PERFORMANCE vs S&P 500
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SUMMARY OF ACTIVE PROGRAMS SINCE INCEPTION
SEE STRATEGIES PAGE FOR INACTIVE PROGRAMS
NOTES: (1) RESULTS ARE VERIFIED AND REAL-TIME, AND ACCOUNT FOR TRANSACTION COSTS, BUT NOT SUBSCRIPTION OR MANAGED ACCT FEES, (2) YK(B) RETURNS REFLECT PERFORMANCE AFTER ADDITION OF “ABNORMAL MARKET FILTER” IN LATE 10/2008 (READ MORE)
ENHANCED S&P 500 INDEX [read more]
NOTE: THE ENHANCED S&P 500 INDEX IS A RELATIVE RETURN PROGRAM, SO IT IS NOT INCLUDED IN COMBINED RESULTS (READ MORE).
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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 managed account or subscription.
Happy Trading,
ms
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Filed under: My Performance | 3 Comments
Loving your posts, but what I love more is your “other’s thoughts i’m reading”. It’s incredibly valuable. I just found this blog (http://www.movethemarkets.com/blog/best-of-mtm/), which I think you would find interesting. I would love to see you discuss some of the more different ideas explored there.
For example, what you think about predicting MA crossovers to “preempt” other traders?
http://www.movethemarkets.com/blog/2007/02/01/ma-and-ema-crossover-prediction/
RE to mktmkr: this is the first I’ve heard of MTM but looks promising and I’ve added to my reader. Thanks for the link.
As a side note: I’m not super keen on the idea of “predicting” future MA values (though I could be convinced otherwise). The concept is really no different than just using a shorter lookback, which makes very little difference in longer MAs. With very short MAs however, none of the above necessarily holds true (because changing the lookback by a small amount could have major implications) and it could make for an interesting angle.
michael