Although the S&P 500 gained this week the BCI declined as the continues claims of the unemployed rose by 91,000 to 3,114,000 from last week’s upward revised figures; alternatively it is is an increase of 161,000 over the 2,953,000 of two weeks ago.
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Blog Archives
BCI 7-18-13
Posted in uddates
Best10 7-8-2013
Currently the portfolio holds 10 stocks, 5 of them winners, so far held for an average period of 53 days, and showing combined -0.3% average return to 7/8/2013
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Posted in reg bestx
BCI 7-11-13
All the components of the BCI indicate a positive trend and BCI increased to new high of 156.9
However, BCIg for the fourth week in succession on a downward path at 20.5 from last week’s 20.8
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Posted in uddates
BCI 7-5-13
The Business Cycle Index slightly down at 155.8 from last week’s upwards revised 156.3 breaking the long trend of weekly gains.
Posted in uddates
BCI 6-27-13
The Business Cycle Index slightly down at 155.8 from last week’s upwards revised 156.3 breaking the long trend of weekly gains.
Posted in uddates
Survivorship Bias: neither Myth nor Fact.
Since publishing our iM-Best10 portfolio management system, readers pointed out that the high returns obtained may be distorted by what is known as survivorship bias. Using an online portfolio simulation platform, we investigated the effect of survivorship bias by running simulations on various stock universes. First, the model was run using the present composition of an index series (survivorship biased simulation), then the same model was rerun using the point-in-time composition of the index series (survivorship free simulation). The results were unexpected; the iM-Best10, a quantitative stock trading model, using the S&P 1500 stock universe simulated the very high survivorship bias free CAGR of 48.10% against the survivorship biased CAGR of 42.93%.
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BCI 6-20-13
With BCI at 155.8 and BCIg at 20.9 no sign of a recessionary trend is indicated
Posted in uddates
Important notice
The week after we published the Best10 and Best10+ portfolio management system the providers of the Portfolio Simulations corrected their software. The reason for the correction is discussed on their site in their forum. On April 29, 2013 a user reported
Marco, in this port: "SP500 Market Timing Model - 60 Stock - 60-40 New" I had trades show up today from last week (4/22) that were not there last week. One was to sell WNR and the other was a buy of AEO. This port had no suggested trades last week. I always run the rebalances after 8:30 am EST. What is going on?
The problem was identified to short interest rate a component of the ranking system and explained by the following post on the same dayfrom the platform owners
Here is the response from S&P
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Posted in oldreg-bestX
BCI 6-13-13
The BCI marginally increased to 155.5 and the BCIg increased slightly to 21.2; both signalling a economy far from a recession.
Posted in uddates
With reference to Section 202(a)(11)(D) of the Investment Advisers Act:
We are Engineers and not Investment Advisers,
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