I thought I would just also post my results for 2012 for a completely separate portfolio that I have been trading for a few years.
One of my beliefs is that a systematic tested and logical system will prevail over most discretionary based managers. I also believe that fundamentals have some merit when assessing returns of stocks. Of course my Australian trend following system doesn't use fundamentals at all.
Given this, I have used www.portfolio123.com to develop a quant based system that combines fundamental and technical factors combined with some market timing to manage one of my portfolios.
If any readers are interested in using P123, which is an absolutely amazing resource, just be mindful that it is very easy to be seduced with some of the public sims. Most of these are data mined traps. I have used the site for over four years and only feel in the last year that I am comfortable with the system I am trading. You need to start with a concept that makes sense and then develop from that point. It also helps if you understand accounting concepts as well as TA.
This model would be somewhat like what some equity hedge funds use in their quant portfolios, except I don't use any short positions except for some hedging. However, I am unable to simulate the high returns of someone like Renaissance Technologies, when I take stock liquidity into account. I have no idea how they can trade such huge amounts and not move the market, but then again I can't employ a couple of hundred PhD's
Below is the returns graph. I hold up to 50 positions, mainly small and micro caps. Red is the portfolio and blue is S&P500
One of my beliefs is that a systematic tested and logical system will prevail over most discretionary based managers. I also believe that fundamentals have some merit when assessing returns of stocks. Of course my Australian trend following system doesn't use fundamentals at all.
Given this, I have used www.portfolio123.com to develop a quant based system that combines fundamental and technical factors combined with some market timing to manage one of my portfolios.
If any readers are interested in using P123, which is an absolutely amazing resource, just be mindful that it is very easy to be seduced with some of the public sims. Most of these are data mined traps. I have used the site for over four years and only feel in the last year that I am comfortable with the system I am trading. You need to start with a concept that makes sense and then develop from that point. It also helps if you understand accounting concepts as well as TA.
This model would be somewhat like what some equity hedge funds use in their quant portfolios, except I don't use any short positions except for some hedging. However, I am unable to simulate the high returns of someone like Renaissance Technologies, when I take stock liquidity into account. I have no idea how they can trade such huge amounts and not move the market, but then again I can't employ a couple of hundred PhD's
Below is the returns graph. I hold up to 50 positions, mainly small and micro caps. Red is the portfolio and blue is S&P500
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