<< Chapter < Page Chapter >> Page >

Recent evaluations and results

Recent evaluations have been mostly focused on evaluating the following:

  1. Repeatability of the procedure in terms of the variability associated with its possible tracks for each realization.
  2. Determining any additional gain (if any) in terms of returns as a function of the number of portfolios evaluated ( J ) at any given year.
  3. The existence of any indications between current year portfolios' medians and subsequent year (same portfolio) performance. Are there any associations and if so how weak or strong are these?
  4. Investigating a stable and plausible stopping rule and assessing how beneficial it might be to run the random search until this condition is met.

Several experiments were set up to determine if it would be worthwhile to inspect more randomly sought portfolios on a yearly basis as part of the overall procedure. A job simulating a total of 104 tracks (each consisting of J = 25 , 000 portfolios per year over a 43 year period, 1965 though 2008) was submitted to ADA and took approximately three days to complete. Several important observations can be made from the outcomes of these simulations (shown in Figures 3 and 4, below). We note that, here, we can exploit the independence regarding the portfolios evaluated to get 52 tracks of J = 50 , 000 portfolios each by combining pairs of J = 25 , 000 tracks and selecting the maximum of the pair (simply the maximum of a longer execution). Essentially this gives us information regarding what would have happened (in terms of the performance of the strategy should we have run it for twice as long). Analogously, tracks for J = 100 , 000 and J = 200 , 000 portfolios were constructed. Finally, some overall discussion of the results is given after the figures.

Procedure Repeatability and Number of Portfolios Sampled Simulation (Left: J = 25 , 000 tracks, Right: J = 50 , 000 tracks)
Procedure Repeatability and Number of Portfolios Sampled Simulation (Left: J = 100 , 000 tracks, Right: J = 200 , 000 tracks)

The total portfolio value was evaluated at the end of both years 2006 and 2008 and contrasted to both market performance (blue track) and the performance of a single track of a whopping J = 2 , 600 , 000 portfolios considered yearly (green track). As expected the variability of the procedure compounds as a function of time, and by chance we might under-perform the market. However, more often than not the procedure out-performed the market and by a quite reasonable amount. The proportion of portfolio-tracks simulated that were over an equally-weighted alternative at the end of 2006 was over 80% (for the cases where J = 25 , 000 and J = 50 , 000 ) and over 90% (for the cases where we assessed more randomly sought portfolios, i.e. J = 100 , 000 , and J = 200 , 000 ). Also, there is weak evidence suggesting that, although running as many as J = 2 , 600 , 000 portfolios might at times outperform the market, this approach is generally not consistently higher on-average than considering tracks consisting of less yearly-evaluated portfolios.

Another rather interesting observation is made through the scatter-grams produced (see Figure 5, below) assessing the correlation between current year portfolio median and (same portfolio) next year performance contrasted to the performance of the S&P 500 index. The number of portfolios evaluated for this purpose was 2 , 000 , 000 and the those that are highlighted as producing the maximum of the medians represent ( < 0 . 1 % , i.e. < 2 , 000 ). The main purpose of this effort was to assess any associations between the current year medians as a forward-looking measure of portfolio performance (as we intend to pick the maximum and by chance we can pick portfolios of performance similar to those in the top 0.999 percentile). As expected the associations are weak, though not extremely weak (correlations are 0 . 209 for the first case and - 0 . 182 for the second), however can be noticed and depend highly of the year evaluated.

Questions & Answers

how did you get 1640
Noor Reply
If auger is pair are the roots of equation x2+5x-3=0
Peter Reply
Wayne and Dennis like to ride the bike path from Riverside Park to the beach. Dennis’s speed is seven miles per hour faster than Wayne’s speed, so it takes Wayne 2 hours to ride to the beach while it takes Dennis 1.5 hours for the ride. Find the speed of both bikers.
MATTHEW Reply
420
Sharon
from theory: distance [miles] = speed [mph] × time [hours] info #1 speed_Dennis × 1.5 = speed_Wayne × 2 => speed_Wayne = 0.75 × speed_Dennis (i) info #2 speed_Dennis = speed_Wayne + 7 [mph] (ii) use (i) in (ii) => [...] speed_Dennis = 28 mph speed_Wayne = 21 mph
George
Let W be Wayne's speed in miles per hour and D be Dennis's speed in miles per hour. We know that W + 7 = D and W * 2 = D * 1.5. Substituting the first equation into the second: W * 2 = (W + 7) * 1.5 W * 2 = W * 1.5 + 7 * 1.5 0.5 * W = 7 * 1.5 W = 7 * 3 or 21 W is 21 D = W + 7 D = 21 + 7 D = 28
Salma
Devon is 32 32​​ years older than his son, Milan. The sum of both their ages is 54 54​. Using the variables d d​ and m m​ to represent the ages of Devon and Milan, respectively, write a system of equations to describe this situation. Enter the equations below, separated by a comma.
Aaron Reply
find product (-6m+6) ( 3m²+4m-3)
SIMRAN Reply
-42m²+60m-18
Salma
what is the solution
bill
how did you arrive at this answer?
bill
-24m+3+3mÁ^2
Susan
i really want to learn
Amira
I only got 42 the rest i don't know how to solve it. Please i need help from anyone to help me improve my solving mathematics please
Amira
Hw did u arrive to this answer.
Aphelele
hi
Bajemah
-6m(3mA²+4m-3)+6(3mA²+4m-3) =-18m²A²-24m²+18m+18mA²+24m-18 Rearrange like items -18m²A²-24m²+42m+18A²-18
Salma
complete the table of valuesfor each given equatio then graph. 1.x+2y=3
Jovelyn Reply
x=3-2y
Salma
y=x+3/2
Salma
Hi
Enock
given that (7x-5):(2+4x)=8:7find the value of x
Nandala
3x-12y=18
Kelvin
please why isn't that the 0is in ten thousand place
Grace Reply
please why is it that the 0is in the place of ten thousand
Grace
Send the example to me here and let me see
Stephen
A meditation garden is in the shape of a right triangle, with one leg 7 feet. The length of the hypotenuse is one more than the length of one of the other legs. Find the lengths of the hypotenuse and the other leg
Marry Reply
how far
Abubakar
cool u
Enock
state in which quadrant or on which axis each of the following angles given measure. in standard position would lie 89°
Abegail Reply
hello
BenJay
hi
Method
I am eliacin, I need your help in maths
Rood
how can I help
Sir
hmm can we speak here?
Amoon
however, may I ask you some questions about Algarba?
Amoon
hi
Enock
what the last part of the problem mean?
Roger
The Jones family took a 15 mile canoe ride down the Indian River in three hours. After lunch, the return trip back up the river took five hours. Find the rate, in mph, of the canoe in still water and the rate of the current.
cameron Reply
Shakir works at a computer store. His weekly pay will be either a fixed amount, $925, or $500 plus 12% of his total sales. How much should his total sales be for his variable pay option to exceed the fixed amount of $925.
mahnoor Reply
I'm guessing, but it's somewhere around $4335.00 I think
Lewis
12% of sales will need to exceed 925 - 500, or 425 to exceed fixed amount option. What amount of sales does that equal? 425 ÷ (12÷100) = 3541.67. So the answer is sales greater than 3541.67. Check: Sales = 3542 Commission 12%=425.04 Pay = 500 + 425.04 = 925.04. 925.04 > 925.00
Munster
difference between rational and irrational numbers
Arundhati Reply
When traveling to Great Britain, Bethany exchanged $602 US dollars into £515 British pounds. How many pounds did she receive for each US dollar?
Jakoiya Reply
how to reduced echelon form
Solomon Reply
Jazmine trained for 3 hours on Saturday. She ran 8 miles and then biked 24 miles. Her biking speed is 4 mph faster than her running speed. What is her running speed?
Zack Reply
d=r×t the equation would be 8/r+24/r+4=3 worked out
Sheirtina
Got questions? Join the online conversation and get instant answers!
Jobilize.com Reply

Get Jobilize Job Search Mobile App in your pocket Now!

Get it on Google Play Download on the App Store Now




Source:  OpenStax, The art of the pfug. OpenStax CNX. Jun 05, 2013 Download for free at http://cnx.org/content/col10523/1.34
Google Play and the Google Play logo are trademarks of Google Inc.

Notification Switch

Would you like to follow the 'The art of the pfug' conversation and receive update notifications?

Ask