Style Model
|
Small Value
|
||
Sector Model
|
XLF
|
-1.58%
|
|
Large Portfolio
|
Date
|
Return
|
Days
|
TIVO
|
4/23/2014
|
12.68%
|
109
|
SHOO
|
4/28/2014
|
-5.03%
|
104
|
PM
|
5/27/2014
|
-2.14%
|
75
|
SR
|
6/2/2014
|
8.95%
|
69
|
CFI
|
6/9/2014
|
-2.46%
|
62
|
FRAN
|
6/16/2014
|
-8.50%
|
55
|
BT
|
7/14/2014
|
-5.16%
|
27
|
RRD
|
7/21/2014
|
4.81%
|
20
|
CHFC
|
7/28/2014
|
-1.50%
|
13
|
ESI
|
8/4/2014
|
-39.97%
|
6
|
(Since 5/31/2011)
|
|||
S&P
|
Annualized
|
11.99%
|
|
Sector Model
|
Annualized
|
24.99%
|
|
Large Portfolio
|
Annualized
|
23.19%
|
Rotation: selling BT; buying BSET
Last Monday my hard drive failed, and so did my
trading. The switch from NUS to ESI was
catastrophic. But later in the week NUS
also crashed. The fact that both of them
collapsed was a good hint that some recent simplifications I’ve made to the
Full Model were not well framed.
Reset on the hard drive.
Reset on the Full Model.
A cathartic week.
On the Sector Model, not much changed:
Boring. Still above
the S&P, still above the back-test baseline. Nothing exciting like ESI on Monday!
I could go for a bit of boredom.
In any case, the reason I simplified the Full model’s
internal metrics was because I was pressed for time and thought the
simplification would work. It didn’t
work, and so I’m back to the more time consuming metrics.
More time, less money.
Less time, more money. Funny how it always works out that way.
The lesson here is that we can’t take shortcuts. The ONLY shortcut is to put everything into
an index and walk away.
If you want to beat the index, you need to put in the time.
No way around it.
I have more to write, but… no time tonight.
Tim
PS – for those who’ve been getting weekly emails, I have to
apologize. My email list was one of the
casualties of the hard drive crash…
No comments:
Post a Comment