Monday, June 02, 2008

Portfolio Performance for May 2008

I've been neck deep in one heck of a massive project at work. Today is the first day in months that I've got a breath. And with that breath, I figure I'd post the portfolio's performance from the past few months.

As you can see, the past two months have been the best months of the year for the portfolio. Still not great...but much better than before. In fact, in the chart below, you can see the portfolio's monthly return finally beat the market for the first time this year.

You might have noticed a change in the charts from the prior month's reporting. That's due to a change in Icarra's chart rendering methodology. This new methodology proved more difficult to post images to this blog. So, I rolled my own portfolio software. Which is definitely a work in progress. Over time, I hope to develop the capabilities to track and share more details on trade statistics from this software.

My ultimate goal is to merge my backtesting application with this portfolio software. This way I could compare simulated results with real-time performance.

What are my next investment experiments?
  • I'm curious how the elements of permaculture can be used in selecting investment vehicles for the portfolio.
  • Would Janet Brown's investment methodology improve my system results?
  • When receiving a large number of buys for a given it better to buy as many stocks as I can under my risk limits? Or more appropriate to opt-out of all the individual stocks and buy an ETF in that sector to capture the obvious sector-based trend?
  • Measuring systems that utilize different levels of cash throughout their system life cycle. If system A's performance is better at all conventional levels (Sharpe, ROI, etc.) than system B's...yet system B uses 50% less cash...are the comparisons valid? I don't believe so...but how do you compare then? Via converting unused cash to utilize market-based returns? This is a tough one.
That's it from here where we've had so much rain in Missouri that I'm beginning to think I'm back in East Texas.

Later Trades,