Saturday, October 10, 2009

Performance summary since inception

This chart shows the performance of the model portfolio compared to our benchmark index since the model's inception.

The system's objective remains constant... to significantly outperform our benchmarks over the complete bull/bear market cycle, with smaller periodic losses than experienced by a passive buy-and-hold strategy. While the model portfolio hasn't been winning the sprint over the past 6 months, it is clearly winning the marathon over the full market cycle.

The model portfolio is also doing an excellent job of managing downside risk. The model's largest periodic loss (from peak to trough) is less than 13%, while the S&P 500 index lost more than 55% at its trough in March. The model portfolio is now within 5% of its all-time peak, while the S&P 500 is still trading more than 33% below its all-time peak made in October 2007.

The model portfolio is up more than 43% over the same period.

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