Mimfchal2005, Year End Result

Read and weep, the final results are in. In absolute amount, David is the
winner this year. Relative to the volatility around the benchmark, Sam
came out at the top by hair. Congrats to both.

Portfolio Name 12/30/05
#1 David $146,709.00
#2 Siddharth $129,313.00
#3 DavidOH $124,585.00
#4 Kaspa_ETF $124,311.00
#5 Sam $119,022.00
#6 FTSE100 $115,923.00
#7 Kaspa $113,600.00
#8 New Yorker $113,371.00
#9 NoEd $110,242.00
#10 StevenL $110,239.00
#11 Who's Your Daddy $108,585.00
#12 Ram2 $108,583.00
#13 Ram1 $108,078.00
#14 Marlowe $106,234.00
#15 Skip/VFINX $105,091.00
#16 mkusuma $104,193.00
#17 Sam'sDog $103,305.00
#18 Darin $100,934.00
#20 bln $93,815.00
#21 TK $87,776.00
#22 Mark $80,860.00


Portfolio Name Sharpe Ratio

#1 Sam 26.20%
#2 David 26.15%
#3 NoEd 25.34%
#4 Kaspa_ETF 24.25%
#5 Siddharth 21.79%
#6 Ram2 17.67%
#7 DavidOH 14.89%
#8 New Yorker 14.80%
#9 StevenL 12.38%
#10 Who's Your Daddy 8.91%
#11 Kaspa 8.55%
#12 bln 7.44%
#13 Ram1 5.28%
#14 Marlowe 2.64%
#15 TK 1.27%
#16 mkusuma 1.06%

Re: Mimfchal2005, Year End Result

TK,

can you share the formula you used to
calculate the Sharp ratio? As I have mentioned in a previous post, in
real life I have done very well vs. the total stock market. However, I
have not checked if this is because of any 'extra risk' that I take and
would like to understand this better.

Kaspa

Re: Mimfchal2005, Year End Result

For one of my portfolios, it was just REIT Index fund. This had a
return of 11.89% according to the Vanguard website. So shouldn't this
just result in a 11.89% increase of the initial investment of
$100,000?

I'll post the results of the my other DCA-based portfolio when
Vanguard gives me the numbers (this is the same distribution as the
one in the contest, but there's automatic DCAing that wasn't done in
the contest).

--Ram

TK Sung <> wrote:

> Read and weep, the final results are in. In absolute amount, David is the
> winner this year. Relative to the volatility around the benchmark, Sam
> came out at the top by hair. Congrats to both.

> Portfolio Name 12/30/05
> #1 David $146,709.00
> #2 Siddharth $129,313.00
> #3 DavidOH $124,585.00
> #4 Kaspa_ETF $124,311.00
> #5 Sam $119,022.00
> #6 FTSE100 $115,923.00
> #7 Kaspa $113,600.00
> #8 New Yorker $113,371.00
> #9 NoEd $110,242.00
> #10 StevenL $110,239.00
> #11 Who's Your Daddy $108,585.00
> #12 Ram2 $108,583.00
> #13 Ram1 $108,078.00
> #14 Marlowe $106,234.00
> #15 Skip/VFINX $105,091.00
> #16 mkusuma $104,193.00
> #17 Sam'sDog $103,305.00
> #18 Darin $100,934.00
> #20 bln $93,815.00
> #21 TK $87,776.00
> #22 Mark $80,860.00


> Portfolio Name Sharpe Ratio

> #1 Sam 26.20%
> #2 David 26.15%
> #3 NoEd 25.34%
> #4 Kaspa_ETF 24.25%
> #5 Siddharth 21.79%
> #6 Ram2 17.67%
> #7 DavidOH 14.89%
> #8 New Yorker 14.80%
> #9 StevenL 12.38%
> #10 Who's Your Daddy 8.91%
> #11 Kaspa 8.55%
> #12 bln 7.44%
> #13 Ram1 5.28%
> #14 Marlowe 2.64%
> #15 TK 1.27%
> #16 mkusuma 1.06%

Re: Mimfchal2005, Year End Result

In article <hZjtf.42287$q%>,
"TK Sung" <> wrote:

> Read and weep, the final results are in. In absolute amount, David is the
> winner this year. Relative to the volatility around the benchmark, Sam
> came out at the top by hair. Congrats to both.

Thanks for the gigantic effort to run the contest this past year,
TK. Now, I have a question about the Sharpe ratio calculation.
All year long, I was hovering around the 50% mark. For instance,
just in November, I had this:


Nov 28, 1:03pm

Portfolio values:
---------------

Sam $120,857.00

Portfolio ranking (Risk-adjusted):
-------------------------------
Portfolio Name Sharpe Ratio

#1 Sam 49.72%


Now, however, I have about the same amount of money in absolute
value, but my risk-to-reward ratio has gone way down (26%). Why
do you think this is? I haven't changed any of my funds, of
course, and though other people have pulled way ahead of me in
absolute numbers, the Sharpe ratio isn't based on other people's
numbers. Any thoughts?

Final figures:

>
> Portfolio Name 12/30/05

> #5 Sam $119,022.00

>
> Portfolio Name Sharpe Ratio
>
> #1 Sam 26.20%

Re: Mimfchal2005, Year End Result

I don't like the Sharpe ratio in this context because

a) The reference risk-free return is less relevant than the country's main
index return (S&P500 or FTSE100). Risk-free return is always around 4 or 5%
so it does not account for differences in countries' stock markets.

b) I can't see what an appropriate volatility or standard deviation would
be.

In the 2006 contest I will just give Relative Gain = Portfolio Return -
Index return in percent.

So, in 2005 the "David" portfolio made 46.7% as against the FTSE100's 15.9%,
so the Relative Gain =46.7-15.9 = 30.8%.

"Sam" made 19.0% as against the S&P500's 5.1% so his Relative Gain was 13.9%

The FTSE100 made 10.8% more than the S&P500 but, even allowing for this,
"David" still did better.

David


"sam grey" <> wrote in message
news:
> In article <hZjtf.42287$q%>,
> "TK Sung" <> wrote:
>
>> Read and weep, the final results are in. In absolute amount, David is
>> the
>> winner this year. Relative to the volatility around the benchmark, Sam
>> came out at the top by hair. Congrats to both.
>
> Thanks for the gigantic effort to run the contest this past year,
> TK. Now, I have a question about the Sharpe ratio calculation.
> All year long, I was hovering around the 50% mark. For instance,
> just in November, I had this:
>
>
> Nov 28, 1:03pm
>
> Portfolio values:
> ---------------
>
> Sam $120,857.00
>
> Portfolio ranking (Risk-adjusted):
> -------------------------------
> Portfolio Name Sharpe Ratio
>
> #1 Sam 49.72%
>
>
> Now, however, I have about the same amount of money in absolute
> value, but my risk-to-reward ratio has gone way down (26%). Why
> do you think this is? I haven't changed any of my funds, of
> course, and though other people have pulled way ahead of me in
> absolute numbers, the Sharpe ratio isn't based on other people's
> numbers. Any thoughts?
>
> Final figures:
>
>>
>> Portfolio Name 12/30/05
>
>> #5 Sam $119,022.00
>
>>
>> Portfolio Name Sharpe Ratio
>>
>> #1 Sam 26.20%

Re: Mimfchal2005, Year End Result

In article <dp5f3m$9nj$>,
"David Wilkinson" <> wrote:

> In the 2006 contest I will just give Relative Gain = Portfolio Return -
> Index return in percent.
>
> So, in 2005 the "David" portfolio made 46.7% as against the FTSE100's 15.9%,
> so the Relative Gain =46.7-15.9 = 30.8%.
>
> "Sam" made 19.0% as against the S&P500's 5.1% so his Relative Gain was 13.9%

You're the boss now, so you obviously will run the thing the way
you want to. And some of your arguments have merit. But I will
merely point out that risk is something to consider, otherwise
you'd be investing in your "David" portfolio in real life, as I
am with my "Sam" portfolio. (Which I don't believe you are,
because--it's too risky, right? Correct me if I'm wrong.) My
real-life portfolio really DID increase roughly 20% this past
year.

Relative gain seems like a good way to go, given that everyone
measures his/her gain against some benchmark anyway. Although
then I'm not so sure it's fair to use different benchmarks as you
do in the above example. We could then play the game of which
benchmark to use (or argue against the ones that are imposed) to
make our numbers appear larger, at the end.

Anyway, as much fun as it is to play, I want to remember not to
take this too seriously. There are too many local factors
(randomness, volatility, portfolio risk) which could result in a
particular portfolio coming out on top for a year but which
represents a strategy that would be unsound for my particular
goals. So, what I'm saying is, however you run it is fine by me,
of course.

Re: Mimfchal2005, Year End Result

"sam grey" <> wrote

> So, what I'm saying is, however you run it is fine by me,
> of course.

That's all you need to say, save all the other rubbish.
Are you related to Elle? Are you Elle?

Re: Mimfchal2005, Year End Result

I agree.. money is money. Some have a higher risk tolerance than others.
That does not make their money worth any less.......... this is why I sold
all rental property and converted it to cash to invest in the market. Much
easier to deal with a pile of cash than bad renters... and I don't get calls
in the middle of the night.

Happy Guy, "Laissez les bons temps roulez"
..
..
"David Wilkinson" <> wrote in message
news:dp5f3m$9nj$
>I don't like the Sharpe ratio in this context because
>
> a) The reference risk-free return is less relevant than the country's main
> index return (S&P500 or FTSE100). Risk-free return is always around 4 or
> 5% so it does not account for differences in countries' stock markets.

Re: Mimfchal2005, Year End Result

That was a real disappointment when I found out this was not a real-life
contest. It was a balls-out contest to win, and that is the reason I stepped
aside. No relationship to reality.

But, if I did not do well, it would still come back as "You lost... we told
you you can't time the market".

I will continue to update timer-stuff, but don't want to be part of some
make-believe competition that proves nothing. What you see on timer-stuff
is what I do in real life.

In the 'other contest', using my real life techniques, I finished up just
shy of 35% for the year.....

Happy Guy, "Laissez les bons temps roulez"
..
..
"sam grey" <> wrote in message
news:
But I will
> merely point out that risk is something to consider, otherwise
> you'd be investing in your "David" portfolio in real life, as I
> am with my "Sam" portfolio. (Which I don't believe you are,
> because--it's too risky, right? Correct me if I'm wrong.) My
> real-life portfolio really DID increase roughly 20% this past
> year.

Re: Mimfchal2005, Year End Result

"kaspakhine" <> wrote in message
news:
> can you share the formula you used to
> calculate the Sharp ratio?
>
I used VFINX (TSE100 for David's) as the benchmark. So, the fomula was

sharpe ratio = AVE( er ) / STDDEV ( er )
where
er(i) = excess return = r(i) - R(i),
where
r(i) = return = v(i) - v(i-1)/v(i-1), and
R(i) = return of the bench mark during the same period,
with
v(i) = the value of the portfolio.

Re: Mimfchal2005, Year End Result

"Ram Samudrala" <> wrote in message
news:dp4sak$f64$
> For one of my portfolios, it was just REIT Index fund. This had a
> return of 11.89% according to the Vanguard website. So shouldn't this
> just result in a 11.89% increase of the initial investment of
> $100,000?
>
I would think. Have you accounted dividends into your mimf portfolio?

Re: Mimfchal2005, Year End Result

"sam grey" <> wrote in message
news:
>
> Now, however, I have about the same amount of money in absolute
> value, but my risk-to-reward ratio has gone way down (26%). Why
> do you think this is?
>
I see that you had a large drop in 12/16 relative to the benchmark,
with -4.9% excess return (from $121k to $115k). Till then, your numbers
were fairly consistent with mostly small positives That drop brought down
your average and spiked up the volatility. Any explanation for that sudden
drop on otherwise consistent portfolio?

Re: Mimfchal2005, Year End Result

"TK Sung" <> wrote in message
news:pjBtf.7778$
>
> "Ram Samudrala" <> wrote in message
> news:dp4sak$f64$
>> For one of my portfolios, it was just REIT Index fund. This had a
>> return of 11.89% according to the Vanguard website. So shouldn't this
>> just result in a 11.89% increase of the initial investment of
>> $100,000?
>>
> I would think. Have you accounted dividends into your mimf portfolio?

Probably not. Vanguard results are from 12/31/04, you didn't start until
after that.
Isn't that why NoEd got booted. You tried to explain it to him repeatedly as
I recall but he was incapable of understanding and correcting his errors.

Re: Mimfchal2005, Year End Result

"David Wilkinson" <> wrote in message
news:dp5f3m$9nj$
> I don't like the Sharpe ratio in this context because
>
> a) The reference risk-free return is less relevant than the country's main
> index return (S&P500 or FTSE100). Risk-free return is always around 4 or
5%
> so it does not account for differences in countries' stock markets.
>
There was no reference to risk-free rate in my formula. The aim was to see
how well a person does relative to the market he is investing in and the
risk he takes.

> In the 2006 contest I will just give Relative Gain = Portfolio Return -
> Index return in percent.
>
But that'll account only for performance relative to the benchmarks, and not
the risk a person is taking. I could gamble on one penny stock or
uspix/uopix to win, but the number won't tell me anything about my
consistency. It'll only mean that my portfolio happened to be at the top at
the end of the year.

One way to look at it is to view the contest as a series of weekly/monthly
subcontests. Then the sharpe ratio tells us who the most consistent
performer was throughout those subcontests.

Re: Mimfchal2005, Year End Result

"Ed" <> wrote in message
news:
>
> "sam grey" <> wrote
>
>> So, what I'm saying is, however you run it is fine by me,
>> of course.
>
> That's all you need to say, save all the other rubbish.
> Are you related to Elle? Are you Elle?
>
Nope. Sam is one of the good guys. Elle is the other sort. You only have to
read them to see that.

Re: Mimfchal2005, Year End Result

"TK Sung" <> wrote in message
news:rPBtf.7788$
>
> "David Wilkinson" <> wrote in message
> news:dp5f3m$9nj$
>> I don't like the Sharpe ratio in this context because
>>
>> a) The reference risk-free return is less relevant than the country's
>> main
>> index return (S&P500 or FTSE100). Risk-free return is always around 4 or
> 5%
>> so it does not account for differences in countries' stock markets.
>>
> There was no reference to risk-free rate in my formula. The aim was to
> see
> how well a person does relative to the market he is investing in and the
> risk he takes.
>
>> In the 2006 contest I will just give Relative Gain = Portfolio Return -
>> Index return in percent.
>>
> But that'll account only for performance relative to the benchmarks, and
> not
> the risk a person is taking. I could gamble on one penny stock or
> uspix/uopix to win, but the number won't tell me anything about my
> consistency. It'll only mean that my portfolio happened to be at the top
> at
> the end of the year.
>
> One way to look at it is to view the contest as a series of weekly/monthly
> subcontests. Then the sharpe ratio tells us who the most consistent
> performer was throughout those subcontests.
>
>
Could be. Or it would be simpler to just average the monthly ranking scores
over the year for each competitor.

Re: Mimfchal2005, Year End Result

"David Wilkinson" <> wrote

> Nope. Sam is one of the good guys. Elle is the other sort. You only have
> to read them to see that.

Sam isn't one of the good guys in my opinion. Sam and I are like oil and
water.
We don't exchange views anymore, Sam and I, but he still takes 1,000 words
or more to say what any normal person could say in 25 words or less.

Re: Mimfchal2005, Year End Result

In article <tyBtf.7781$>,
"TK Sung" <> wrote:

> I see that you had a large drop in 12/16 relative to the benchmark,
> with -4.9% excess return (from $121k to $115k). Till then, your numbers
> were fairly consistent with mostly small positives That drop brought down
> your average and spiked up the volatility. Any explanation for that sudden
> drop on otherwise consistent portfolio?

Just the fact that I let a week go by without accounting for
distributions. The drop from 121k to 115k was on paper only--I
didn't have a chance to update the portfolio for distributions.

Re: Mimfchal2005, Year End Result

"Ed" <> wrote in message
news:
>
> "David Wilkinson" <> wrote
>
>> Nope. Sam is one of the good guys. Elle is the other sort. You only have
>> to read them to see that.
>
> Sam isn't one of the good guys in my opinion. Sam and I are like oil and
> water.
> We don't exchange views anymore, Sam and I, but he still takes 1,000
> words or more to say what any normal person could say in 25 words or less.
>
Well, opinions obviously differ but I have you both down as GGs in my book,
so try to get along there!

Incidentally, contrary to perceived opinion that I might be anti-US, I have
just bought two US products, a new HP dual-processor computer and monitor
and a genuine full-price copy of Excel.

And so, as the old year winds to its end, a Happy and Prosperous New Year
to all mimf readers!

Re: Mimfchal2005, Year End Result

Nope, I've not done anything to my portfolio (and don't even know how
to manage it). I'll just post the updated results here.

Thanks for doing all the work on my behalf, BTW.

--Ram

TK Sung <> wrote:


> "Ram Samudrala" <> wrote in message
> news:dp4sak$f64$
>> For one of my portfolios, it was just REIT Index fund. This had a
>> return of 11.89% according to the Vanguard website. So shouldn't this
>> just result in a 11.89% increase of the initial investment of
>> $100,000?
>>
> I would think. Have you accounted dividends into your mimf portfolio?

Re: Mimfchal2005, Year End Result

"David Wilkinson" <> wrote in message
news:dp6ur2$q8g$

> Incidentally, contrary to perceived opinion that I might be anti-US, I
have
> just bought two US products, a new HP dual-processor computer and monitor
> and a genuine full-price copy of Excel.
>
> And so, as the old year winds to its end, a Happy and Prosperous New Year
> to all mimf readers!

And a Happy New Year to you and to all, as well.

I'm guessing that precious little of what you bought was likely manufactured
within the US but I do, indirectly, a lot of work for both of those
companies to I will thank you for my cut.

-herb
>
>

Re: Mimfchal2005, Year End Result

"David Wilkinson" <> wrote

> Incidentally, contrary to perceived opinion that I might be anti-US, I
> have just bought two US products, a new HP dual-processor computer and
> monitor and a genuine full-price copy of Excel.

Are you sure that the "made in" label on your new HP products say "made in
USA"?
I'd be surprised if they did.

Re: Mimfchal2005, Year End Result

"Ed" <> wrote in message
news:
>
> "David Wilkinson" <> wrote
>
>> Incidentally, contrary to perceived opinion that I might be anti-US, I
>> have just bought two US products, a new HP dual-processor computer and
>> monitor and a genuine full-price copy of Excel.
>
> Are you sure that the "made in" label on your new HP products say "made in
> USA"?
> I'd be surprised if they did.
>
Hmmm....You were right. The computer box says "Assembled in the Czech
republic" and the monitor box says "Product of China". However, the
Excel2003 box does not mention any other country so perhaps the single $0.05
CD was made in America. What do you guys actually do over there then?
Presumably you sell each other insurance like we do in the UK :-)

Re: Mimfchal2005, Year End Result

"David Wilkinson" <> wrote

> Hmmm....You were right. The computer box says "Assembled in the Czech
> republic" and the monitor box says "Product of China". However, the
> Excel2003 box does not mention any other country so perhaps the single
> $0.05 CD was made in America. What do you guys actually do over there
> then? Presumably you sell each other insurance like we do in the UK :-)

We don't manufacture much, that's for sure. What we do manufacture is giving
way to foreign competition.
GM and Ford might be good examples as they are continuing to lose market
share to Japan and S. Korea. In the case of US manufacturing facilities
overseas, money will come back to the US but the jobs are not here. There
are still many small companies that manufacture things but for the most part
they of minimum or only slightly higer wages. People that have these jobs
often require some type of public assistance to feed, house, and take care
of any medical problems for their families.

Re: Mimfchal2005, Year End Result

Can't figure out who is buying all those expensive houses in my
neighborhood... I know most tend to be Dr's and lawyers and people of that
ilk.... There must be a lot of lower middle-class people in the USA barely
making it.

Now, they will be hit with higher energy costs (our state utility board just
okayed a 22% rate increase for electricity), higher minimum payments on
credit cards, and tougher bankruptcy laws (most WILL NOT have their
accumulated debt forgiven)..... times are getting tougher.

Happy Guy, "Laissez les bons temps roulez"
..
..
"Ed" <> wrote in message
news:
>
There are still many small companies that manufacture things but for the
most part
> they of minimum or only slightly higer wages. People that have these jobs
> often require some type of public assistance to feed, house, and take care
> of any medical problems for their families.

Re: Mimfchal2005, Year End Result

Foreclosure lists are growing. If rates rise many, if not most of these
people, have variable rate mortgages and those that were buying the big
houses will be pushed over the edge. I've been watching a house up the
street from me, it was on the market for a year or so, no takers. The owner
put it up for auction and no one was willing to meet the opening bid. It's
back on the market again.



"happy-guy" <> wrote in message
news:UERtf.46513$
> Can't figure out who is buying all those expensive houses in my
> neighborhood... I know most tend to be Dr's and lawyers and people of that
> ilk.... There must be a lot of lower middle-class people in the USA barely
> making it.
>
> Now, they will be hit with higher energy costs (our state utility board
> just okayed a 22% rate increase for electricity), higher minimum payments
> on credit cards, and tougher bankruptcy laws (most WILL NOT have their
> accumulated debt forgiven)..... times are getting tougher.

Re: Mimfchal2005, Year End Result

I'm actually happy about the bankruptcy laws..... I actually know someone
who had a good idea they would declare bankruptcy and went out and bought
almost $10k worth of furniture...... I understand the need for bankruptcy,
but don't like the abuse of any system whose liability eventually costs me
money.... like defaulted student loans, etc. Which is why I went all
tax-deferred and tax-free in investments.. but, there are other taxes I can
not avoid whose proceeds are not used exactly as I wish....

Some houses around here are staying on the market longer, but the local
market still seems to have a lot of steam left.

Happy Guy, "Laissez les bons temps roulez"
..
..
"Ed" <> wrote in message
news:
> Foreclosure lists are growing. If rates rise many, if not most of these
> people, have variable rate mortgages and those that were buying the big
> houses will be pushed over the edge. I've been watching a house up the
> street from me, it was on the market for a year or so, no takers. The
> owner put it up for auction and no one was willing to meet the opening
> bid. It's back on the market again.
>
>
>

Re: Mimfchal2005, Year End Result

Ah, that'll teach you to count your dividends more diligently this
year. :)

Anyway, belated thanks to David for taking it over this year, and good
luck to you all!