TaylorTrade weekly Stats (01/25/10-01/29/10)

Key Figures	TaylorTrade	SPY
Active Components	29	1
Entries this period	0	0
Exits this period	0	0
IPOs this period	0	0
Inactive this period	0	0
Missing in PriceDB	0	0
# All-time Closing Highs	8 (3.20%)	0 (0.00%)
# All-time Closing Lows	0 (0.00%)	0 (0.00%)
# Higher Closes	96 (38.40%)	2 (40.00%)
# Lower Closes	153 (61.20%)	3 (60.00%)
Total Gains/Losses	$-13.08 (-0.09%)	$-1.82 (-0.33%)
Average True Range	(3.16%)	(1.70%)

* Results are cumulative for the period.

Russell 3000 Weekly Stats (01/25/10-01/29/10)

Key Figures	Russell 3000	IWV
Total Active Components	2979	1
Total New Listings this period	0	0
Total Inactive this period	1	0
# All-time Closing Highs	30 (0.20%)	0 (0.00%)
# All-time Closing Lows	23 (0.15%)	0 (0.00%)
# Higher Closes	5790 (38.87%)	2 (40.00%)
# Lower Closes	8795 (59.05%)	3 (60.00%)
Total Gains/Losses	$-1569.99 (-0.43%)	$-1.21 (-0.38%)
Average True Range	(3.93%)	(1.72%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/29/10)

Key Figures	Russell 3000	IWV
Total Active Components	2979	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	7 (0.23%)	0 (0.00%)
# All-time Closing Lows	8 (0.27%)	0 (0.00%)
# Higher Closes	893 (29.98%)	0 (0.00%)
# Lower Closes	2014 (67.61%)	1 (100.00%)
Total Gains/Losses	$-719.60 (-0.99%)	$-0.76 (-1.19%)
Average True Range	(4.31%)	(2.45%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/28/10)

Key Figures	Russell 3000	IWV
Total Active Components	2979	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	10 (0.34%)	0 (0.00%)
# All-time Closing Lows	5 (0.17%)	0 (0.00%)
# Higher Closes	493 (16.55%)	0 (0.00%)
# Lower Closes	2451 (82.28%)	1 (100.00%)
Total Gains/Losses	$-982.74 (-1.33%)	$-0.79 (-1.23%)
Average True Range	(4.26%)	(2.20%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/27/10)

Key Figures	Russell 3000	IWV
Total Active Components	2979	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	9 (0.30%)	0 (0.00%)
# All-time Closing Lows	4 (0.13%)	0 (0.00%)
# Higher Closes	2017 (67.71%)	1 (100.00%)
# Lower Closes	903 (30.31%)	0 (0.00%)
Total Gains/Losses	$489.46 (0.67%)	$0.32 (0.50%)
Average True Range	(3.85%)	(1.59%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/26/10)

Key Figures	Russell 3000	IWV
Total Active Components	2979	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	3 (0.10%)	0 (0.00%)
# All-time Closing Lows	5 (0.17%)	0 (0.00%)
# Higher Closes	752 (25.24%)	0 (0.00%)
# Lower Closes	2162 (72.57%)	1 (100.00%)
Total Gains/Losses	$-484.78 (-0.66%)	$-0.27 (-0.42%)
Average True Range	(3.61%)	(1.29%)

* Results are cumulative for the period.

Price verification found 0 errors

Portfolio Performance for December 2009

I've missed a few months of posting performance numbers. This post should catch us all up.

Portfolio is still lagging the market. Not by much. I have made a few changes to the portfolio's allocations in late December. Nothing drastic, just pulled a few weeds in the portfolio for tax loss selling.





I have one final module left in the simulation engine to unit test and then I should be free to add the code to report portfolio stats. One goal for 2010 is to post portfolio stats daily like I do the Russell 3000 stats. My other goal for 2010 is to verify a couple of system ideas I've tested recently. If successful, could add coverage to the market I've never had before.

One idea is based off some of the game theory I learned while playing Xbox Live's Modern Warfare 2. In many ways, how you score points in the game is how you make money in the market.

The other idea is one I've been toying with for a few years. How to capture the volatility in the portfolio...or better yet...how to remove it. There are some holes in this idea...so I probably still have a few years to go. Ha.

Later Trades,

MT

Russell 3000 Daily Stats (01/25/10)

Key Figures	Russell 3000	IWV
Total Active Components	2979	1
Total New Listings this period	0	0
Total Inactive this period	1	0
# All-time Closing Highs	1 (0.03%)	0 (0.00%)
# All-time Closing Lows	1 (0.03%)	0 (0.00%)
# Higher Closes	1635 (54.88%)	1 (100.00%)
# Lower Closes	1265 (42.46%)	0 (0.00%)
Total Gains/Losses	$127.67 (0.17%)	$0.29 (0.45%)
Average True Range	(3.63%)	(1.06%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Weekly Stats (01/19/10-01/22/10)

Key Figures	Russell 3000	IWV
Total Active Components	2981	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	60 (0.50%)	0 (0.00%)
# All-time Closing Lows	3 (0.03%)	0 (0.00%)
# Higher Closes	3974 (33.34%)	1 (25.00%)
# Lower Closes	7756 (65.06%)	3 (75.00%)
Total Gains/Losses	$-2461.57 (-0.81%)	$-2.43 (-0.91%)
Average True Range	(4.02%)	(1.98%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/22/10)

Key Figures	Russell 3000	IWV
Total Active Components	2980	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	1 (0.03%)	0 (0.00%)
# All-time Closing Lows	2 (0.07%)	0 (0.00%)
# Higher Closes	516 (17.32%)	0 (0.00%)
# Lower Closes	2407 (80.77%)	1 (100.00%)
Total Gains/Losses	$-1285.61 (-1.72%)	$-1.44 (-2.20%)
Average True Range	(4.30%)	(2.32%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/21/10)

Key Figures	Russell 3000	IWV
Total Active Components	2980	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	8 (0.27%)	0 (0.00%)
# All-time Closing Lows	1 (0.03%)	0 (0.00%)
# Higher Closes	462 (15.50%)	0 (0.00%)
# Lower Closes	2479 (83.19%)	1 (100.00%)
Total Gains/Losses	$-1289.10 (-1.69%)	$-1.25 (-1.87%)
Average True Range	(4.43%)	(2.31%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/20/10)

Key Figures	Russell 3000	IWV
Total Active Components	2980	1
Total New Listings this period	0	0
Total Inactive this period	1	0
# All-time Closing Highs	10 (0.34%)	0 (0.00%)
# All-time Closing Lows	0 (0.00%)	0 (0.00%)
# Higher Closes	483 (16.21%)	0 (0.00%)
# Lower Closes	2454 (82.35%)	1 (100.00%)
Total Gains/Losses	$-960.98 (-1.25%)	$-0.68 (-1.01%)
Average True Range	(3.76%)	(1.85%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/19/10)

Key Figures	Russell 3000	IWV
Total Active Components	2981	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	41 (1.38%)	0 (0.00%)
# All-time Closing Lows	0 (0.00%)	0 (0.00%)
# Higher Closes	2513 (84.30%)	1 (100.00%)
# Lower Closes	416 (13.96%)	0 (0.00%)
Total Gains/Losses	$1074.32 (1.41%)	$0.94 (1.41%)
Average True Range	(3.58%)	(1.44%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/15/10)

Key Figures	Russell 3000	IWV
Total Active Components	2981	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	6 (0.20%)	0 (0.00%)
# All-time Closing Lows	0 (0.00%)	0 (0.00%)
# Higher Closes	523 (17.54%)	0 (0.00%)
# Lower Closes	2413 (80.95%)	1 (100.00%)
Total Gains/Losses	$-893.97 (-1.16%)	$-0.83 (-1.23%)
Average True Range	(3.73%)	(1.50%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/14/10)

Key Figures	Russell 3000	IWV
Total Active Components	2981	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	22 (0.74%)	0 (0.00%)
# All-time Closing Lows	0 (0.00%)	0 (0.00%)
# Higher Closes	1675 (56.19%)	1 (100.00%)
# Lower Closes	1219 (40.89%)	0 (0.00%)
Total Gains/Losses	$186.24 (0.24%)	$0.16 (0.24%)
Average True Range	(3.14%)	(0.63%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/13/10)

Key Figures	Russell 3000	IWV
Total Active Components	2981	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	24 (0.81%)	0 (0.00%)
# All-time Closing Lows	0 (0.00%)	0 (0.00%)
# Higher Closes	2333 (78.26%)	1 (100.00%)
# Lower Closes	591 (19.83%)	0 (0.00%)
Total Gains/Losses	$760.83 (1.00%)	$0.58 (0.87%)
Average True Range	(3.46%)	(1.43%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/12/10)

Key Figures	Russell 3000	IWV
Total Active Components	2981	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	7 (0.23%)	0 (0.00%)
# All-time Closing Lows	0 (0.00%)	0 (0.00%)
# Higher Closes	611 (20.50%)	0 (0.00%)
# Lower Closes	2303 (77.26%)	1 (100.00%)
Total Gains/Losses	$-844.83 (-1.10%)	$-0.63 (-0.94%)
Average True Range	(3.48%)	(1.35%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (01/11/10)

Key Figures	Russell 3000	IWV
Total Active Components	2981	1
Total New Listings this period	0	0
Total Inactive this period	0	0
# All-time Closing Highs	28 (0.94%)	0 (0.00%)
# All-time Closing Lows	0 (0.00%)	0 (0.00%)
# Higher Closes	1374 (46.09%)	1 (100.00%)
# Lower Closes	1524 (51.12%)	0 (0.00%)
Total Gains/Losses	$58.64 (0.08%)	$0.06 (0.09%)
Average True Range	(3.40%)	(0.82%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Weekly Stats (01/04/10-01/08/10)

Key Figures	Russell 3000	IWV
Total Active Components	2981	1
Total New Listings this period	0	0
Total Inactive this period	1	0
# All-time Closing Highs	152 (1.02%)	0 (0.00%)
# All-time Closing Lows	3 (0.02%)	0 (0.00%)
# Higher Closes	8654 (58.06%)	5 (100.00%)
# Lower Closes	5948 (39.91%)	0 (0.00%)
Total Gains/Losses	$1926.54 (0.51%)	$1.87 (0.56%)
Average True Range	(3.62%)	(0.96%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Weekly Stats (12/28/09-12/31/09)

Key Figures	Russell 3000	IWV
Total Active Components	2984	1
Total New Listings this period	0	0
Total Inactive this period	2	0
# All-time Closing Highs	116 (0.97%)	0 (0.00%)
# All-time Closing Lows	1 (0.01%)	0 (0.00%)
# Higher Closes	4748 (39.79%)	1 (25.00%)
# Lower Closes	6827 (57.21%)	3 (75.00%)
Total Gains/Losses	$-770.22 (-0.25%)	$-0.70 (-0.27%)
Average True Range	(2.82%)	(0.70%)

* Results are cumulative for the period.

Price verification found 0 errors

David Swenson Lecture

So long 2009, Hello 2010!

Let's start the new year right with a great video refresher on long term investing by Yale Endowment hall of famer, David Swenson. It's long but well worth the view. And be sure to watch the Q&A at the end. Some highlights from the lecture:

Swenson covered 3 areas in relation to portfolio returns:

1. Asset Allocation
2. Market Timing
3. Security Selection

Swenson believes Market Timing and Security Selection are actually a negative drag on returns. And Asset Allocation produce over 100% of the returns. Does a nice job explaining this.

Also covers how survivorship & backfill bias makes things seem better than they really are. I was really surprised at some of the numbers he shared on this topic. Based on Swenson's study...I would have thought survivorship bias would impact my long-term trading system's results more than they have.

The best tidbit mentioned in the video was Swenson's coverage of the differences 1st quartile managers generate versus 3rd quartile. In the bond market he found very little difference between the best managers returns and those in the 3rd quartile. But, as he drove down into the more inefficient markets...the differences between the best and the rest grew further apart. Swenson's take: spend time and energy persuing the most inefficiently priced asset classes cause great rewards in finding the top managers.

The final item I took away was from the Q&A session at the end. Swenson worries about the top down but invests from the bottom up. Identifies asset classes that are overpriced or underpriced. Extends his time horizon out 3 or 4 years. Bets big while keeping his asset allocation to the asset class at an annually reviewed level.

Well, that's it from the cold midwest where I plan to spend the first day of the new year: taking the kids to get doughnuts in the morning, hopefully watching snow fall during the day, and enjoying some great fajitas and cervezas for dinner.

Happy New Year,

MT