Hi Q, Your analysis is very interesting. It brings to question some of the AIM variations that we've discussed. In a long term history such as the one you described (especially with so many "bullish" years) I would think that certain changes might help. I would imagine maximum cash reserves would have been rather stupendous at times! Did you "credit" AIM with any interest on the cash side over that time frame?
One possibility would be to change the initial cash reserve from 50% to 33% and maybe 20% to see if there's improvement. Another would be to use a Cash Reserve ceiling and the 'vealie' technique say at 50% cash, 33% or 20%. Each of these increases the likelihood of running out of cash somewhere along the way, but better total return may compensate for this small loss of "insurance." I guess what would need to be answered would be whether the increase in volatility from having a smaller Cash Reserve cushion would be justified by a total return that increased at a rate greater than the volatility.
See, you guys always thought I kept this AIM BB up just for fun! Now I'm being "paid" nicely by having all these ideas thrashed out!
Best regards, Tom
Port Washington, WI 53074
