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Joe,
Thanks for the URL to an interesting site. Pankin seems
like a level headed guy. His material is so clearly
presented and free from mathematical detail I never would
have guessed he has a Ph.D. in mathemetics.
As for his sector rotation model, the results appear to
average about 8% above his benchmark (about 18%/year vs
10%/year for the S&P). However I do not like to see two
back to back yearly losses of over 20% each (2001 and
2002). That is a drawdown of over 40%.
Hopefully we can use AB to develop something with a better
profit and drawdown profile. For example, Dennis Yurconis
has a method with a much smoother equity curve achieved by
using 2 distinct methods of sector rotation - a momentum
based method and a breakout method. Here is the URL
performance charts for these sector methods.
http://www.managemyfunds.com/sector_performance.htm]
b
--- Joe Landry <jelandry@xxxxxxxxxxxxx> wrote:
> I may be off the mark on this and it may not help you but
> just in case you are not aware..here's some background on
> switching Fidelity Select Funds. I heard Mark Pankin talk
> many years ago about this approach. Has an interesting
> and free web site.
>
> http://www.pankin.com/select/method.htm
>
> If you navigate around you'll see copies of his most
> recent talks. Seems like this organizes and approach to
> using AB with ETF or other sector equities where the
> limits of the Fidelity organization including the .75% or
> the 5 week short term constraint does/would not apply.
>
> Joe Landry
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