My ancient Dell servers are decaying... odd that, since they're made of rocks and metal. I've been too busy to attend to it, but got this across to a new server a few days ago. Seems like I should do a regression of the performance of MF Global onto the dynamic trading risk factor. That will need a little work as I've moved my databases onto MySQL and there's still some teething troubles to go through.

[11/08/2011] And then squirrels ate through my power cables and I had to have the cables to the house repaired by Jersey Central Power & Light — and that work killed the cable internet which had to be redone by Comcast…

In the prior post we discussed the Compact Model Portfolio, in terms of its anomalous covariance with the benchmark index that served it well for years. To provide a little more context, here we exhibit a chart of the cumulative daily performance of the portfolio index (as distinct from the value of a traded portfolio) and it's benchmark, the NASDAQ-100.

We have been trading NASDAQ-100 futures under a our One-Shot strategy, and publishing that trade data to Twittersince April, this year. The following chart shows the performance of this trading, to date. Put simply, the 1st. of September was very bad. We got into the wrong position and rode it down. Some money was made back by trading during the month, but the month as a whole was a poor one for this strategy. Fortunately, today (the 1st. of October) was very good. Good enough to cancel out its antecent date, but in the wrong month to make the performance numbers look nicer.

The Compact Model Portolio, which has been quiescent for a long time, has traded again. This time substituting J.P. Morgan (JPM) for Wells Fargo (WFC). (The history of the composition of this index, and it's daily return relative to the benchmark, is available on the blog side panel.)

It's now three month's since we started trading a portfolio designed to replicate the performance of hedge funds by picking those stocks with maximum exposure to the dynamic trading risk factor.

The portfolio's performance peaked in early August, and has been in a drawdown since then. It was hit hard on the 1st. September, when all the financial stocks dramatically underperformed the market. However, it is still profitable after fees.

UPDATE 03/15/2010: The performance chart has been replaced with the one for this current year. As you can see, the system is currently in a small drawdown.

I've recently neglected the Compact Model Portfolio, on this blog. This is probably due to my interest in the Dynamic Trading Risk Factor — which is work I've done more recently.

The history of the composition of this index, and it's daily return relative to the benchmark, have been available on the blog side panel for a while now.

This index has been short financials via a long position in SKF, which has reversed some of the exposure due to a long position in Bank of America (BAC). Today, this changed — as the SKF position was replaced with one in Wells Fargo.