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PureBytes Links
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B and Dingo - Glad you followed up on Mark Pankin's
site. I heard him speak in Houston in 1996 or 97 and still
have an Excel sheet that I used for a whiile. His talks
were just as straight forward as the content of his web site
indicates. Must come from being a good teacher.
Thanks for the managemyfunds site. Will check it
out.
When you look at the return curves you've got to remember
the trading strategy was done with a once a week sampling of the
price.. The price of the select fund was recorded as of close Friday and
the rankings were done and decisions were made for Monday. The parameters
now are proprietary but at the time a 3 week and a 8 week rankings was applied,
there was a 5 week hold period to avoid the .75% hickey that Fidelity would
impose, but he says that on average his research shows the fund hold time should
be 5 weeks even if no penalty was imposed.
As far as the 3-8 week, the times "they have a changed"
since 1996 as far as volatility and Fidelity Select Fund performance
goes.
Joe L.
--- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
b
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, March 29, 2004 12:19
PM
Subject: 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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