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<FONT face=Arial
color=#0000ff size=2>but look at his curve since Jan 01..looks like he ran outta
gas..
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: b [mailto:b519b@xxxxxxxxx]
Sent: Monday, March 29, 2004 1:19 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Re: Sector
Trading (Pankin and Yurconis Approaches)
Joe,Thanks for the URL to an interesting site. Pankin
seemslike a level headed guy. His material is so clearlypresented and
free from mathematical detail I never wouldhave guessed he has a Ph.D. in
mathemetics.As for his sector rotation model, the results appear
toaverage about 8% above his benchmark (about 18%/year vs10%/year for
the S&P). However I do not like to see twoback to back yearly losses
of over 20% each (2001 and2002). That is a drawdown of over
40%.Hopefully we can use AB to develop something with a
betterprofit and drawdown profile. For example, Dennis Yurconishas a
method with a much smoother equity curve achieved byusing 2 distinct
methods of sector rotation - a momentumbased method and a breakout method.
Here is the URLperformance charts for these sector methods.<A
href="">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. > > <A
href="">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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