Current Month Return: -7.5%
Year To Date Return: -4.5%
3 Month Return: 1.6%
6 Month Return: -4.5%
12 Month Return: -0.3%
24 Month Return: 11.2%
24 Month Annualized Return: 5.5%
36 Month Return: 51.5%
36 Month Annualized Return: 14.8%
Since Inception Return: 45.4%
Since Inception, Annualized Return: 12.2%

My last trades were mentioned here. This coming weekend will be the time to revisit those positions. The personal portfolio (tracking with the Aggressive system for the last few months) slipped on a Chiquita banana peel (CQB), down 35% since purchase.

Here are some numbers for the systems I track; all returns are net of dividends and transaction costs, assessed at $10 per trade:

Timing, starting with a hypothetical $100,000 in November of last year, had $101,333.64 as of the close of 2007. The current equity is $96,163.09, representing a YTD return of -5.10% and an inception return of -3.84%. I am not including returns from cash, as some followers of this system may instead use some alternative investments.

Fundamental, starting with a hypothetical $100,000 in November of last year, had $105,583.88 as of the close of 2007. The current equity is $96,931.04, representing a YTD return of -8.20% and an inception return of -3.07%.

Rotational, starting with a hypothetical $100,000 in November of last year, had $101,615.86 as of the close of 2007. The current equity is $109,346.87, representing a YTD return of +7.61% and an inception return of +9.35%.

Aggressive, starting with a hypothetical $100,000 in November of last year, had $100,807.71 as of the close of 2007. The current equity is $93,712.59, representing a YTD return of -7.04% and an inception return of -6.29%.

I’m not a big fan of relative benchmarks, but some readers are, so for convenience, here are some alternative returns.

SPY returns -11.60% YTD, including dividends.
DIA returns -13.45% YTD, including dividends.
QQQQ returns -11.67% YTD, including dividends.

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[To view the stock selections, see the Aggressive Portfolio results and allocations, and read some ideas for modifying the Aggressive plan, read more…]

I have placed my trade orders for May.

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Be back in a while.

Information is as of the close on April 11, 2008. Based on beginning with a $100,000 portfolio at inception.

Equity: $96,768.24
Gain, Past 4 Weeks: 5.87%
Gain, Year to Date: -4.01%
Gain, Since Inception at 11/26/20082007: -3.23%

In the past, I had been using 10 positions from each system; I will now be using only the 5 highest-ranked positions from each system. This should make the system generate slightly higher returns, albeit at a higher volatility, and it should also reduce the transaction expenses going forward. To read more, visit this post at The Rempel Report.

If you’d like to become of member of The Rempel Report, you can register here. At The Rempel Report, I track model portfolios for four different mechanical trading systems, as well as my personal portfolio, and disclose all results (good and bad) at regular intervals. Members receive email notification of new posts and can contribute to the site through comments. Registration is still free!

Imagine that, hypothetically, we KNEW with absolute certainty that two managers, trading different strategies, both had long-term cumulative annual growth rates (CAGR) of exactly 13%. Yes, there was variation from year to year, but we just KNOW they’re equivalent managers trading different styles/systems.

Now, by happenstance, imagine that after 47 months the managers are neck and neck, with the same returns through that timeframe. Along comes month 48, wherein the second manager has a return that is 4% lower than that of the first manager, who has the exact return needed to hit 13% annualized. Hmm, 13% annualized by four years, take 4% off the top, take the fourth root, golly gee, the second manager now has an 11.85% (roughly 12%) four-year annualized return! 13 minus 4 equals 12.

Now let’s forget that we know anything about the returns given by the two managers’ different styles. We are faced with two managers and their four-year return numbers, one of whom returned 12% annualized and one of whom returned 13% annualized, with similar volatility.

Is there really a difference in their returns?

Don’t confuse precision of measurement with accuracy; accept the fact that, statistically speaking, we can never know with precision, we can only become progressively more confident within a fog of uncertainty.