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PureBytes Links
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Joe -
Was checking in while in Dallas and saw your note. I thought that
you might also point them at Ron Rowland at the link below.
http://www.allstarinvestor.com/ASFT/welcome.asp
He has a long history tracked by Hulbert and a fair amount of
information on methodology on his site.
http://www.allstarinvestor.com/help/UG_Tools.asp
His 12/90 - 1/04 ANN was reported at 22.9%. I'm not defending him,
but there are some things to keep in mind when comparing him or
Pankin to the theoretical back results of ManageMyFunds. Rowland and
Pankin traded Fidelity Selects with the .75% short term trading ding,
and the 3% front-end load. Plus, Fidelity Selects are terrible
performers relative to the underlying sector indices. Without the 3%
issue anymore, Rowland can update his strategy to include other ETF's
and funds, including short funds. We'll have to ask him the next
time he talks in Houston.
-- Bruce
--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxxx> wrote:
> 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 -----
> From: b
> To: 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 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@xxxx> 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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