Post #897 by lizgdal on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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There was high start date variability in 2020, with 2020 annual results ranging from 7 to 25 for the 63 different start dates. (Standard deviation of CAGR was 3.66. YSP results were about 1.2 standard deviations from the {zgYSP} mean. 1.2 = (12.14 - 7.70) / 3.66 ) Expect high tracking error in volatile years. For example, 2009 annual returns ranged from 55 to 105, with a standard deviation of 9, depending on the start date.

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