Karel,
Here is the dope on the 20/80 and the 50/50 Vortex Simulations for the SPY Jan 1, 1998-July 1, 2000. The figures tell their own story.
My observation is that if you consider the cash earnings there is a very significant advantage over the Buy and Hold investment gain. This supports my earlier argument that the B*H approache will almost never beat an AIM, and if you also consider the lower investment base for the AIM then the yield on the basis of invested capital will be the same for an AIM as B&H if the share price runs straigh up without cycling.
Anyway, investments that don't cycle are not interesting, so I claim that B&H will never beat a good AIM on cycling stock.
The tables below are screwed up! In the Editing/Preview Mode the data is lined up quite well but as soon as it goes in the Final Mode it gets out of wack a lot. If you want the data lined up(in a matrix) I will send it to you by e-mail. Just give the word!
Neutral Vortex Mode 20/80 Cash/Equity Ratio
Remarks for neutral parameters Start Capital =20 000
1 Buy & Hold Yield Profit 5,77%
2 Number of Trades 7 234,57143 days/trade 7,706659 Month/Trade
3 Annual Yield 2,7
4 Direct Yield Profit 12%
5 End capital $22.459
6 Cash/Stock Ratio 20/80
7 Lowest cash 4000
8 Highest cash 12282
9 End PF Value $22.459
10 Highest PF Value $28.476
11 Lowest PF Value 20000
12 Buy Aggression 0 ----Rw=Constant at $16000 !!
13 Sell Aggression 0
14 Minimum Buy % SV 10
15 Minimum Sell % SV 10
16 Interest of 4% added Yield 2,7 /yr
17 Interest Income @ 4% 0
18 Dividend added to Reserve 820
19 Note that with the high cash
reserve interest earnings would have been
approximately (at 4%/yr) 1740
This raises the Yield to 20,99 Percent vs Buy & Hold Investment
Neutral Vortex Mode 50/50 Cash/Equity Ratio
Remarks for neutral parameters Start Capital =20 000
1 Buy & Hold Yield Profit 5,77%
2 Number of Trades 7 234,57143 Days/Trade 7,706659 Months/Trade
3 Annual Yield 1,7
4 Direct Yield Profit 8%
5 End capital $21.537
6 Cash/Stock Ratio 20/80
7 Lowest cash 4000
8 Highest cash 15176
9 End PF Value $21.537
10 Highest PF Value $25.298
11 Lowest PF Value 20000
12 Buy Aggression 0 ----Rw=Constant at $16000 !!
13 Sell Aggression 0
14 Minimum Buy % SV 10
15 Minimum Sell % SV 10
16 Interest of 4% added Yield 1,7 /yr
17 Interest Income @ 4% 0
18 Dividend added to Reserve $512
19 Note that with the high cash
reserve interest earnings would have been
approximately (at 4%/yr) 2560
This raises the Yield to 20,5 Percent vs Buy & Hold Investment
Clearly the 20/80 performace is better without interest on the cash added. With the interest added they give about the same.
The interesting thing in my opinon is that for the zero agression and PC is constant for the full 4,5 years the gain over the Buy and hold is still signigicant, although I figure it might be very similar to what the AIM BTB performance would get on this stock.
Dropping the Minimum Buy/Sell to 5% makes almost no difference althouh it increases the number of trades. Obviously making the parameters variable and increasing the options for changing various things such as the PC-Updating, a Beta factor like AI 1.0 from Mark Hing had, provides the potential for getting high yields.
Regards,
Conrad
AI
