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Bob-
Thanks for the info. I just got back from Pankin's site and it looks like
there is a ton of information out there. We do subscribe to Formula Research.
Pankin was the one who inspired our model. The major difference between his
model and ours is that he holds only one Select fund, whereas we use the "slot"
system. Pankin would get a signal, let it run its course, and then switch into
the current signal. The first thing I had to know was if all the signals (not
just the ones he happened to take) shared the same characteristics. They do.
We chose to do the slot system for diversification purposes (again-safety
first).
I ran a test that looked at the performance of all the Fidelity Select funds
over a five week period (our minimum holding period) after being ranked over
the last 3 weeks. Since 1993, the funds that were in the top 10% in 3-week
performance averaged a 2.29% gain over the next 5 weeks, compared to 1.8% for
the S&P. It is not a huge difference, but it is an edge. Also, as a group,
the Select funds outperform the S&P on a return basis, but are much more
volatile. If you were to put an equal amount of money into each Select fund
and just hold it, you would earn more than the S&P, but your maximum drawdown
would be higher. FYI.
Bill Bancroft
Bob Fulks wrote:
> You might like to look at money manager, Mark Pankin's system for trading
> selects at http://www.retrosheet.org/mdp/select/.
>
> Nelson Freeburg's Formula Research newsletter had an analysis of the Pankin
> system a while back. You can contact this organization at 800-720-1080.
>
> No connection, etc.
>
> Bob Fulks
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