S&P 500

dunstonh

The question i have backtesting a portfolio is do i want a 200% increase or a 1300% increase in pot size...

How long would you backtest it for? - for example, in a cycle when the S&P500 has been best, then you know anything heavily weighted to the S&P500 is going to be best.   However, in a cycle when the S&P500 was worst, then anything heavily weighted to S&P500 would be bad.

In this cycle, S&P500 has been best.  In the previous cycle, it was the worst.  Historically, US equities and global equities tend to alternate.  

Broadly i'd say for beginners buy a global tracker for a base, but i'd pick a well performing market like the s&p 500 especially if you have a couple of decades to burn...

And you are putting all your money on the S&P500 being best even though your back testing should be telling you that it is not the case.

So i'll stick with "bad investing". Its odd though i'm happy day trading s&p 500 e-minis with a good risk management plan ,and i dont seem to have a problem.

Short termism is your problem.

Rattusnorvegicus

dunstonh said:

The question i have backtesting a portfolio is do i want a 200% increase or a 1300% increase in pot size...

How long would you backtest it for? - for example, in a cycle when the S&P500 has been best, then you know anything heavily weighted to the S&P500 is going to be best.   However, in a cycle when the S&P500 was worst, then anything heavily weighted to S&P500 would be bad.

In this cycle, S&P500 has been best.  In the previous cycle, it was the worst.  Historically, US equities and global equities tend to alternate.  

Broadly i'd say for beginners buy a global tracker for a base, but i'd pick a well performing market like the s&p 500 especially if you have a couple of decades to burn...

And you are putting all your money on the S&P500 being best even though your back testing should be telling you that it is not the case.

So i'll stick with "bad investing". Its odd though i'm happy day trading s&p 500 e-minis with a good risk management plan ,and i dont seem to have a problem.

Short termism is your problem.

Between 1982 and 2000 the MSCI world 16x, and the nasdaq composite 23x so in the previous cycle it was still better.

Its why i trust in the trip Qs...

and i'l be happy to come back in 2035-37 and review the 2009-2035/7 cycle vs the msci world.

Your always welcome to pick another period for backtesting but are you suggesting ignoring the break of the long term monthly MA, and just riding it down?

Sure short-termism is my problem, i only run my theoretical models until 2055, and operate on the usual 26-28 year cycle theory since i wont live forever.

My point is that ultimately an individual is responsible for their own risk management, and should pick a strategy as such.

I'm happy with mine, what other people do isnt really my problem, and with a beta around 1.3 i'm clearly not taking on or advocating for high risk.

dunstonh

Between 1982 and 2000 the MSCI world 16x, and the nasdaq composite 23x so in the previous cycle it was still better.

And the 10 year period between 2000 and 2009?  You have ignored that period in several places
Are you factoring in currency fluctuations?  (you live in sterling, not dollars)

Rattusnorvegicus

sure i've ignored it... it dropped below the sell at 9mo MA, rebuy at the 55mo MA ... run a backtest of that from 1990 to 2020 with the sell/rebuy... its quite clear its cyclical you can go back and look at 1903-1929 another 26-28 year cycle.

You invest hard during the cycles, and yank money out when the its going pear-shaped sign hits.

and right now we're in another cycle...its premature to be bearish on the whole thing until 2033-2034...and you can bet there will be a big dump, a semi recovery then a big dump again like in 1929-1936, 1968-1974, 2000-2009.

So anyone investing long-term needs a strategy to cover the next big dump.Mines sell at the 9mo MA and rebuy at the 55.

But then you know all this, you've studied plenty of market history, and probably heard every theory under the sun.

The only real question that matters is the model right? will it be late 2030s there another dump... All we can do is study the charts in front of us, and evaluate what it currently says with a flexible,unbiased and open mind.