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:
- 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.
- 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.
- 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:
- NASDAQ 100 portfolio
- NASDAQ 100 portfolio with margin
- NASDAQ 100 portfolio with hedging
- Leveraged ETF portfolio
- Vanguard portfolio
- Vanguard Select portfolio
- Simple Vanguard portfolio
- Lazy Vanguard portfolio
- TSP portfolio
These links open PDF files with the following contents:
Part 1
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Charts showing simulated performance for different inception (start) dates.
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Part 2
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Text summaries of the simulated performance for different start dates.
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Part 3
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Current ranking of stocks that have a
buy signal.
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Part 4
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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.
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Part 5
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A history of the number of stocks included in the simulation.
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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.
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