Returns for the week ending 7/25/08:
Strategic Growth Model (SGM) portfolio = -1.3%
Value of $10,000 invested at inception: $49,134
SGM portfolio is on a SELL signal, next week’s holdings:
1/2 of funds in RWM
1/2 of funds in CASH
Friday, July 25, 2008
Saturday, July 19, 2008
Returns for the week ending 7/18/08
Returns for the week ending 7/18/08:
Strategic Growth Model (SGM) folio = -1.4%
Value of $10,000 invested at inception: $49,781
Strategic Growth portfolio is on a SELL signal, next week’s holdings:
1/2 of funds in RWM
1/2 of funds in CASH
Strategic Growth Model (SGM) folio = -1.4%
Value of $10,000 invested at inception: $49,781
Strategic Growth portfolio is on a SELL signal, next week’s holdings:
1/2 of funds in RWM
1/2 of funds in CASH
Friday, July 11, 2008
Returns for the week ending 7/11/08
Returns for the week ending 7/11/08:
Strategic Growth Model (SGM) portfolio = -0.8%
Value of $10,000 invested at inception: $50,462
SGM portfolio is on a SELL signal, next week’s holdings:
1/2 of funds in RWM
1/2 of funds in CASH
Strategic Growth Model (SGM) portfolio = -0.8%
Value of $10,000 invested at inception: $50,462
SGM portfolio is on a SELL signal, next week’s holdings:
1/2 of funds in RWM
1/2 of funds in CASH
Saturday, July 5, 2008
Risk Managed Performance
Since I am using a system based approach here, I will explain some of the statistics I use in my scorecard.
Statistics are used to show that the model is generating excellent risk-adjusted returns, along with a low correlation to the market. A low correlation indicates that the system is appropriate for all market conditions, suitable for holding throughout the complete Bull-Bear cycle.
The CAGR% (Compound Annual Growth Rate) is the total return generated by the model. Many trading systems are optimized for CAGR% alone, with the idea that a higher number is always better. Not always! A better goal is to maximize risk-adjusted return. So in addition to absolute return, this system considers several factors that impact the return/risk.
The Sharpe Ratio is a measure of reward-to-risk efficiency. It measures whether the investor gains at least one unit of return for each unit of risk. The higher the number, the better.
The RSQ correlation coefficient measures the degree to which movement of the model portfolio is related to that of the S&P 500 index. It is a measure of the beneficial effect of diversification. for a diversified portfolio, you want to see the its correlation coefficient within a target range of 0.50 and zero.
The Maximum Equity Drawdown (MDD) is another way to measure the riskiness of a trading system. It measures the maximum interim equity loss from a peak to the following trough.
Beta is a popular statistical measure of risk, measuring the model portfolio's volatility in relation to that of the S&P 500 index.
Statistics are used to show that the model is generating excellent risk-adjusted returns, along with a low correlation to the market. A low correlation indicates that the system is appropriate for all market conditions, suitable for holding throughout the complete Bull-Bear cycle.
The CAGR% (Compound Annual Growth Rate) is the total return generated by the model. Many trading systems are optimized for CAGR% alone, with the idea that a higher number is always better. Not always! A better goal is to maximize risk-adjusted return. So in addition to absolute return, this system considers several factors that impact the return/risk.
The Sharpe Ratio is a measure of reward-to-risk efficiency. It measures whether the investor gains at least one unit of return for each unit of risk. The higher the number, the better.
The RSQ correlation coefficient measures the degree to which movement of the model portfolio is related to that of the S&P 500 index. It is a measure of the beneficial effect of diversification. for a diversified portfolio, you want to see the its correlation coefficient within a target range of 0.50 and zero.
The Maximum Equity Drawdown (MDD) is another way to measure the riskiness of a trading system. It measures the maximum interim equity loss from a peak to the following trough.
Beta is a popular statistical measure of risk, measuring the model portfolio's volatility in relation to that of the S&P 500 index.
Thursday, July 3, 2008
Returns for the week ending 7/3/08
Returns for the week ending 7/3/08 (Short week due to holiday):
Strategic Growth Model (SGM) portfolio = +2.4%
Value of $10,000 invested at inception: $50,869
SGM portfolio is on a SELL signal, next week’s holdings:
1/2 of funds in RWM
1/2 of funds in CASH
Strategic Growth Model (SGM) portfolio = +2.4%
Value of $10,000 invested at inception: $50,869
SGM portfolio is on a SELL signal, next week’s holdings:
1/2 of funds in RWM
1/2 of funds in CASH
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