Wednesday, January 2, 2008

2007 Demo Portfolio Results (Revisited)

The Demo portfolio finished 2007 with a return of 17.62% net of transaction costs, for the 9 months from 4/1/2007 to 12/31/2007, well above the 9.63% benchmark results. I will continue trading the same model in 2008 and will keep the short model allocation to around 20-25% of the NAV to reduce portfolio risk.

The short model started trading at the end of August and so far has met my expectations despite a 145% loss in TMTA in October. Given the low capitalization of the stocks selected by the model, the risk of another TMTA going forward is high, but the simulation includes these jumps in the backtested results*.

*I checked the simulation log from 2/24/2003 to 1/7/2008 and found a total of 251 transactions for this 4.8 years period, averaging 47 calendar days holding period p/position or around 7 stocks per week. Contrary to what I thought initially, the highest simulated loss is only 35% for OPWV on 1/12/2004. Interestingly, OPWV is currently my best position carrying a 60% positive return from 8/2007.

This is a complete log of the highest simulated losses:

Symbol Open Close Days Pct
OPWV 12/29/2003 1/12/2004 14 35.40%
MDTL 9/17/2007 10/1/2007 14 33.76%
PRSF 12/22/2003 1/26/2004 35 27.44%
SSRI 1/18/2005 2/14/2005 27 25.23%
COSI 6/6/2005 6/13/2005 7 23.77%
MONE 7/26/2004 8/2/2004 7 22.28%
PRSF 12/22/2003 2/2/2004 42 22.26%
SYNM 11/7/2005 11/28/2005 21 21.44%
INPC 3/20/2006 4/10/2006 21 20.79%
MENT 12/29/2003 1/12/2004 14 20.24%

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