Subject: Re: YEY Failure Analysis
DrBob2: How about a version of WWL, what's working lately?
Here the first is a simple WWL comparison just taking the 4,3,2 weighted sum of the last 3 years at the end of the year
and infesting in largest sum for the next full year gives a 21.2% CAGR over the last 24 years.
Second is just taking the larger of ROE or YEY last end of year return and investing in the higher one gives a 26.3% CAGR.
Third and fourth are just the ROE and YEY results for same period, YEY's return is good but with volatility and a 55% MDD.
ROE_Cash YEYr ROE_Cash YEYr WWL WWL ROE_Cash YldErnYr Blender
3y_Wt 3y_Wt 4+3+2 1Yr
19971231 -2.52 16.96
19981231 101.62 24.98
19991231 95.94 -2.79 683.6 97.7 1 1 1 1 1
20001229 2.38 39.67 500.6 200.3 1.024 1.024 1.024 1.397 1.343
20011231 -12.98 55.99 147.1 337.4 0.891 1.597 0.891 2.179 1.733
20021231 -9.03 30.46 -70.3 369.1 1.162 2.083 0.810 2.842 1.954
20031231 28.74 88.60 61.9 557.8 2.192 3.929 1.043 5.361 3.151
20041231 11.69 44.46 114.9 504.6 3.167 5.676 1.165 7.744 4.039
20051230 11.85 36.64 139.9 457.1 4.327 7.756 1.303 10.581 4.590
20061229 16.18 48.58 123.7 393.2 6.429 11.524 1.514 15.722 5.815
20071231 20.15 103.76 152.8 634.1 13.099 23.482 1.819 32.035 9.076
20081231 -31.68 -22.97 -33.9 316.6 10.090 18.088 1.243 24.676 6.854
20091231 50.70 20.15 148.0 219.2 12.123 21.732 1.873 29.648 9.290
20101231 19.53 48.99 166.9 210.5 18.063 25.976 2.239 44.174 11.94
20111230 -0.25 16.43 159.0 253.0 21.030 30.244 2.233 51.431 13.30
20121231 8.68 44.62 73.0 325.8 30.414 43.739 2.427 74.380 17.16
20131231 51.33 55.35 230.9 388.1 47.247 67.947 3.673 115.545 25.46
20141231 11.19 4.82 216.1 274.6 49.526 71.224 4.084 121.119 27.55
20151231 3.11 7.32 148.7 154.5 53.153 73.436 4.211 129.990 28.22
20161230 17.50 2.26 101.7 40.6 54.353 75.093 4.948 132.923 30.61
20171229 37.66 4.32 209.4 38.7 74.824 103.377 6.812 138.663 35.66
20181231 -12.69 -16.07 97.2 -46.8 65.330 90.259 5.948 116.379 34.42
20191231 47.01 27.52 225.3 70.5 96.042 132.692 8.744 148.402 42.32
20201231 31.48 -6.92 241.6 22.7 126.274 174.459 11.496 138.135 48.26
20211231 24.46 48.97 286.3 230.2 157.165 217.138 14.308 205.781 66.22
20221230 -39.69 18.29 -22.4 206.2 94.790 256.851 8.630 243.416 64.16
20231229 48.70 5.71 124.7 175.7 100.206 271.527 12.832 257.3 74.386
CAGRs 21.2 26.3 11.2 26.0 19.70%
Don't think this proves much of anything as we are just playing with the ones we already know are the winners.
What WWL needs is a algorithm that takes into consideration all screens at a point in time and ranks them by their probibility
of success in the next month.
RAMc