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Simulated Performance

Each night I download the latest data, analyze each stock in the NASDAQ 100 index and each Vanguard and TSP fund and calculate the simulated performance for each portfolio for different inception (start) dates. I do this for the following reasons:
  1. I use the results of the analysis to determine whether each of the stocks/funds in my current portfolio still has a "buy" signal. If the signal changed on any of the stocks/funds in my current portfolio then I sell this stock/fund the following day. The analysis also tells me which stock/fund I should buy to replace the one I'm selling.
  2. I compare the simulated performance against the performance of my actual portfolio, i.e. the portfolio in my investment account. I do this to verify that there are no implementation errors in my software.  This performance will not match exactly mainly because I cannot buy or sell stock at the exact same prices as the simulated portfolio and the simulated portfolio can hold fractional shares (see Limitations and Assumptions). Nevertheless, on any given day my investment account should go up or down very close to the same percentage as the simulated portfolio.
  3. I compare the short term simulated performance against the long term simulated performance. This tells me whether the current performance is above or below the historical average. For example, if the average yearly gain is 20% and the annualized return of the last 100 trading days is 30% then I can reasonably expect my current performance to stagnate or to go down. In practice this cannot be used as a predictor but it helps me manage my expectations.

The following results are available:

  1. NASDAQ 100 portfolio
  2. NASDAQ 100 portfolio with margin
  3. NASDAQ 100 portfolio with hedging
  4. Leveraged ETF portfolio
  5. Vanguard portfolio
  6. Vanguard Select portfolio
  7. Simple Vanguard portfolio
  8. Lazy Vanguard portfolio
  9. TSP portfolio

These links open PDF files with the following contents:

Part 1 Charts showing simulated performance for different inception (start) dates.
Part 2 Text summaries of the simulated performance for different start dates.
Part 3 Current ranking of stocks that have a buy signal.
Part 4 For the NASDAQ 100 portfolio, this part shows a chart of the NASDAQ 100 index (symbol ^NDX) followed by a chart for each stock currently in the NASDAQ 100 index. For the Vanguard portfolio, this part shows a chart of the S&P 500 index (symbol ^GSPC) followed by a chart for each Vanguard fund included in the analysis. For the TSP portfolio, this part shows a chart of the S&P 500 index (symbol ^GSPC) followed by a chart for each TSP fund included in the analysis.
Part 5 A history of the number of stocks included in the simulation.

A more detailed description of the contents of these files is given here

You will see that the performance is quite spectacular. Please review the limitations and assumptions to put these in perspective.