tgrafa Regular  Posts: 63 Joined: 10/11/2012 Location: Midland, Texas  User Profile | The first chart shows the runs from 1/1/2014 thru 2/25/2014. Note that on the 2/11/2014 run CAR drops to -5.2 and TPM drop to 1.2 - quite a change from the previous 37 runs. The 'bad' runs continue on the spreadsheet thru 2/21/2014 because not until 2/22/2014 did the 'bad' trades fall outside of the run date and therefore out of the history. The second chart attached shows the historical trades for this 2/11/2014 run. The first trade was for R4-L-ETFEEV which opened on 2/11/2014 and closed on 2/20/2014 - all is normal. Having 100% equity available on the morning of the 21st, trades fired for R11-L-ETFFXP and PB2-L-ETFGDX for 50% each. Note that the trade for FXP closed out on 2/25/2014 while the PB2 trade for GDX ties up 50% equity for 7 months - until 9/26/2014 (a discussion for another time but maybe PB2 and other long term trades are not be a good idea for a 50/50 ETF portfolio with out some type of conditions - 7 months with a 16.89% loss would not be fun in the real world). What caught my eye in the trades chart was that even though the FXP trade closed on 2/25/2014, freeing up 50% equity, that 50% is never reinvested through the end of the run with only one position at a time being held for the rest of the run through 6/18/2014 - thus the TPM figure of 1.2. The 50% seems to have been locked up by OmniVest and not available for investing purposes. On chart three you get more evidence of what has happened. Even though FXP sold on 2/25/2014 and with only 1 position at a time held for the balance of the year, the performance chart shows 100% invested most of the time with 50% minimum invested all the time - the 50% is somehow allocated to a non existent position. This is why the avg invested jumps to 91.5% for the run - far above the 75%-78% on the first 37 runs. I'm feel sure that this probably goes back to the original discussion about the '0' vs. '1' settlement day. The settlement day wasn't the problem - it just by happenstance threw me into the same likely error. I haven't had time to look into those trades and allocations but I suspect something similar since in that case the equity curve seems to drop and never recover through the whole run. Look over this and if I am misinterpreting something let me know. Otherwise this probably needs to be reported to Barry. Trey  Attached file : ETF Start Dates.png (71KB - 356 downloads) Attached file : Trades 2_11_2014.png (167KB - 327 downloads) Attached file : ETF Run 2_11_2014.png (75KB - 333 downloads) |
