A.I.M. Users Bulletin Board

[Tim Reese]

Tom re Clair's Stores, here's the data file I used as a learning example.

# Claire's Stores example from Chapter 2 of Jeff Weber's book
Safe 0.1
Cash 10000
CashFraction 0.33333333
PortControlFraction 0.5
CashReturn 0.06
Interval 31
Prices
10.25 Jun-94
10.00 Jul-94
12.37 Aug-94
12.50 Sep-94
11.00 Oct-94
11.37 Nov-94
11.75 Dec-94
11.62 Jan-95
14.12 Feb-95
12.62 Mar-95
13.12 Apr-95
13.87 May-95
15.87 Jun-95 Adjust
18.12 Jul-95
19.50 Aug-95
20.75 Sep-95
20.50 Oct-95
19.50 Nov-95
18.62 Dec-95
17.62 Jan-96
19.00 Feb-96
16.12 Mar-96
18.12 Apr-96

This is 23 months, and is lifted directly from Jeff's site. I intended to use his walkthrough as a test of my program, and hadn't meant to draw any conclusions - but I didn't see any huge differences in final port value with my very limited testing.

Re ROCAR, yes, of course! Having spent a while researching MPT, getting the same return with a higher dilution of equities with cash is an obvious win. Now, how to do the opposite - get a higher return with the same risk? Invest in riskier equities I suppose - like stocks with high Beta.

best regards Tim