kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile | Well, building that SPY test case was interesting. I'm attaching the spreadsheet. More variance in 2 year returns than I would have guessed based on the entry date. But the standard deviation of ending equity looks smaller than most of the PW results. So I still think PW is more volatile. But what puzzles me, (and I haven't taken a lot of time to dig into this), is that the return on buy and hold SPY was way higher than any of the PW EFs generated, based on mean ending equity. And I didn't even use compounding when estimating the SPY ending equity values. Further, the SPY test highlighted the fact that weekends don't generate equity values. The PW tests include runs for every date between 10/1/12 and 10/28/12. But I don't see flat spots in the ending equity curves I generated for all the EFs. So I need to figure that out too. If you have insight into why my SPY estimates (I know they are ballpark swags) seem to outpace all the PW runs I'd really appreciate your thoughts. (I threw the spreadsheet together pretty quickly. Maybe I've had another brain fart. It's been known to happen. Increasingly with age. :-) ) Cheers Keith  Attached file : SPY Test.xlsx (14KB - 342 downloads) |
