This topic contains 62 replies, has 22 voices, and was last updated by  Mark Vincent 5 months, 1 week ago.

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    Alexander Horn

    Hi Mark,

    not sure if I understand you, here an example:

    1) With 10,000 in cell C4: You assume you added 10k to your account at the beginning of week 2, so account total is 21k. In week 2 you make 2k of capital gains, so your profit % is 2k / (11+10k) = 9.5% or stated differently 23k / 21 – 1 = 9.5%

    2) Without 10,000 in cell C4: You did not add to your account, so now the 2k profit are from the 11k you had in your account originally, that´s 2k / 11k = 18% or 13/11 – 1 = 18%.

    Important is in this setup the assumption that you add the amount at the BEGINNING of the new week, if you want to add at the END of week 1 then need to change the formulae a bit.

    Above is a simple calculation, but basically the same banks do the math.
    Hope this clarifies.



    Hi Alex,

    OK, I see: we add the 10k at the beginning of the period, and the 2k is the profit we realize at the end. Because the Gain/Loss column in your example came before the Add/Withdraw column, I had thought it all took place in a single rebalancing, where the 2k is our profit from the previous period and then we add the 10k.

    If we don’t add the 10k, then the profit at the end would be only about 1k instead of 2k, so it would still be 9.5%.

    Thanks for clarifying.



    Mark Vincent

    Newbie question:

    I don’t understand the following statement made by Frank: The optimizer changes the allocation for the metastrategy every month?

    “No, I don’t think it makes sense to change the meta strategy allocation each month. The problem is that if you would for example change from the Nasdaq 100 strategy to a safer strategy like Bond Rotation, then you profit only half if there is a recovery. It’s like selling half of your Nasdaq100 allocation and go to cash. This means that you realize a loss with no chance to recovery. The Nasdaq 100 strategy had a lot of such one month draw downs but it had even more really big monthly gains with single stocks surging 20% or more.
    However due to the high valuation of the Nasdaq100 and the normally underperforming summer period I would not invest too much in the Nasdaq100.”

    Mark Vincent

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