THE IMPORTANCE OF TIMING--Brazil (EWZ) 1,006% vs 865%
Worldwide ETFs Portfolio
5.33 years June 21, 2002--October 19, 2007
The Signature-Rank Method
See Comments below
© 2007 The 2000 Corporation
Comments
Selection and Timing.
My selection of Brazil is arbitrary. I did not use system rankings to pick it. It is simply the best performing fund of both ETF portfolios, Worldwide and Mostly USA, over the entire five-year period for which adequate data are available.
Drawdowns. You want to know how badly a system may perform as well as how good it can be. One reward-to-risk measure to do that is the Copernicus Factor (CF), total gain divided by maximum percent drawdown. Using the signature-rank method improves drawdown from -30% to
-24%, lowers the drawdown period from 19 weeks to 5 weeks, and raises CF from 28 to 41. To give you some idea of how these CF's compare, click here and look at columns five and six.
The Psychology of Time. The human animal, like the rest, craves action. Horses and dogs run. Fish swim. Birds fly. Man drives fast cars, rides rockets, speeds through the seas. With this trading method you can go for nearly two years without making a single trade. Boring. We can pick arbitrary, reasonable time targets, like we did in the first Brazil study (here), but look at the magnitude of profits we leave behind. Would you rather do four trades every five years or one trade a month every year?
Next. A future Systems Tips will study the signature-rank method applied to the worst of all the funds in the two portfolios. Beyond that, a possible system could be built.
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