08/13/2012 model returns so far

These are the returns for the model calculated through August 9, 2012.

SPY (in Blue) is the S&P ETF.  It includes dividends and is a robust comparison for the model.

Beta (in Orange) is a representation of the actual returns for the model.  Since I gradually loaded the model over a six month period, it starts mostly in cash and is only fully loaded at the end of October 2011.

Mousetrap (in Red) is what the Beta returns would look like if cash is excluded.

Finally, Margin (in Green) is the way a Margin account would use the model.  It would invest 10% of the maximum previous account value into each stock, rather than the current account value.  This averages about 6% of margin over time, with a theoretical maximum of 27%.


During the live run of the model, SPY (S&P plus dividends) has experienced a 6.71% annualized return.  The Beta run has experienced an 18.20% annualized return.  Had the Beta been fully loaded with no cash reserves the return rate would be 22.78% annualized, and a margined strategy would be 27.11% annualized.


Finally, there is the question of maximum drawdown and a risk / reward ratio:


 

Drawdown	Return Rate	Strategy	Risk / Reward Ratio
22.50%	6.71%	SPY	335.11%
19.19%	18.20%	Beta	105.46%
24.51%	22.78%	Mousetrap	107.56%
25.32%	27.11%	Margin	93.39%

In terms of risk, simply holding SPY was riskier than any of the Mousetrap strategies, whether the actual Beta run, or fully loaded.  The most intriguing result was the fact that the Margined strategy would actually have greater returns than risk.