Karel's Marketocracy Fund

[Karel]

Nice curve, Karel! Congrats.

Thanks Spike! Yes, the curves looks nice, which must mean something, if not another! But I think they abstract very much from the Real World. Look at this curve (orange is my fund, green, blue and brown are the S&P500, Nasdaq, and DJIA, and purple is the Marketocracy Masters 100 Fund, MOFQX):



It is a lot bumpier than the worst curves from the Kelly Value indicate.

I think one of the reasons for this is that the calculation assumes totally independent outcomes, while in the Real World the losses clump together in bad periods for the market. Or something.

Anyway, thanks for devoting a thread to me!

Regards,

Karel

[Karel]

New Top 3: PCU, DWSN and FTK

A good week for the markets and my funds. Did I dare to say that my baseline seemed ready to leave last place? I did and it did. QHF-, my baseline fund, is outperforming the markets, as I hoped in February (see also the first March post). The fact that it only now starts to climb in the rankings, is due to the fact that it started out with a handicap, because I had neglected my funds for a time:

QHF: 30.39 (+1.5%)
QQQQ: 28.14 (+2.1%)
SPY: 27.99 (+1.9%)
QHF-: 27.83 (+3.4%)
IWM: 27.27 (0.6%)

Hall of fame: VIP +8.9% (last weeks pick), MTL +7.6% (the last pick but one), and RIO +7.5% (the last pick but two )
Hall of shame: MICC -8.8% (second successive week as top shamer), GNK -7.2%, and VSEA -3.8%

The new Top 3 Picks are PCU, DWSN and FTK. Do we need a new stock for QHF? Yes, I fear another stock needs replacement, and this time it is MICC. Right after I bought MICC it tumbled off a cliff. What to do? Lots of people still think MICC is a really good stock, and I tend to believe them. The problem is, I am fundamentally challenged, so when I am on my own, I lay more stress on momentum (as I understand it: stock goes up=good). So exit MICC and enter FWLT.

VOLV was sold for 16.07, a -8.5 loss in almost 5 months, or -21% annualized. Not nice. VIP entered the portfolio at 24.78.

The baseline fund got rid of MICC, VIP, and BAP, for an average loss of -6.8%, or a 4.7% average gain over the reported 48 sells. We now sell EMS, PCU and MTL and buy the top 3 not held: PCU(!), MTL(!), and FWLT.

QHF Closed Trades:
Winners: 39, avg +76.5%
Losers: 19, avg -22.3%
Total: 58, avg +44.1%

Regards,

Karel

[Karel]

New Top 3: VIP, GTLS and MBT

I have been away last weekend so this is a report over two weeks. The markets didn't do bad at all, but just look at my funds. Two weeks ago I was glad that QHF-, my baseline fund, had left last place. Just look now (percentages over 2 weeks):

QHF: 32.94 (+8.4%; +32.6% since the end of February)
QHF-: 29.58 (+6.3%; +19.0% since etc.)
QQQQ: 29.39 (+4.4%; +14.0%)
SPY: 28.68 (+2.5%; +6.7%)
IWM: 27.95 (+2.5%; -1.2%)

Hall of fame, again over 2 weeks: RIO +24.5%, GNK +18.8%, and DECK +15.8% (my oldest pick in the current bunch)
Hall of shame: GEO -4.4%, DWSN -2.1%, and VSEA +1.9%

The new Top 3 Picks are VIP, GTLS and MBT. Do we need a new stock for QHF? No, although GLF comes close to my mental stop of -20% after its last high weekly close. I don't want to be hasty selling these stocks, and MICC is a case in point. I sold it at 72.18, now it closed the week at 83.90. FWLT, its replacement, gained a much more modest 3.4%. No problem, just following my plan, and then such things happen.

As I said MICC was sold for 72.18, a -24.1% loss in almost 2 months, or -83% annualized. Yikes! FWLT entered the portfolio at 126.99.

The baseline fund got rid of MICC, VIP, and BAP, for an average loss of -6.5%, or a 4.0% average gain over the reported 51 sells. We now sell PCP, VSEA, and BGC and buy the top 3 not held: FARO, NOK and GTLS.

QHF Closed Trades:
Winners: 39, avg +76.5%
Losers: 20, avg -22.4%
Total: 59, avg +43.0%

Regards,

Karel

[Karel]

Top 3: PCU, DWSN, and SNCR

A bit late, but here is the report. It was a nice week for the market and my fund QHF is up, but still last in line this week. Almost a relief! IWM had an excellent week and passed SPY:

QHF: 33.49 (+1.7%)
QHF-: 30.85 (+4.1%)
QQQQ: 30.20 (+2.8%)
IWM: 29.38 (+5.1%)
SPY: 29.30 (+2.2%)

Hall of fame: MTL +13.9%, GGB +8.2%, and FWLT +7.6%
Hall of shame: GRMN -31.1%, VSEA -9.4%, and GEO -3.6%

The new Top 3 Picks are PCU, DWSN, and AL. Do we need a new stock for QHF? No, we don't, but GLF is getting close.

The baseline fund got rid of PCP, VSEA and BGC, for an average gain of 11.7%, or a 4.4% average gain over the reported 54 sells. We now sell DWSN, SNCR and FTK, and buy DWSN(!), AL and FTK(!).

QHF Closed Trades:
Winners: 39, avg +76.5%
Losers: 20, avg -22.4%
Total: 59, avg +43.0%

Regards,

Karel
_________

[Karel]

New Top 3: VIP, MT and GTLS

A mixed week for the market (SPY jumped over the Russell 2000 small caps), but my funds did very well and put some distance between themselves and the indices:

QHF: 35.14 (+4.9%)
QHF-: 32.08 (+4.0%)
QQQQ: 30.60 (+1.3%)
SPY: 29.39 (+0.3%)
IWM: 29.27 (-0.4%)

Hall of fame: MTL (again nr. 1) +23.4%, PCU +10.5, and GRMN +9.9% (after last weeks steep drop)
Hall of shame: PCP -3.7%, DECK -3.6%, and DWSN -3.1%

The new Top 3 Picks are VIP, MT and GTLS. Do we need a new stock for QHF? Perhaps, because GLF is marked "stalling". Now in retrospect I am not happy to have sold MICC at a bottom. Wise remarks that it wasn't necessarily a bad stock are no consolation. If I look again at GLF, I see only things to like, apart from the net result of 13 weeks of price action. So I will keep GLF for another 3 months. But I have it tagged for disappointing behavior.

The baseline fund got rid of DWSN, SNCR and FTK, for an average gain of 43.0% (yes, you read that right), or a 6.5% average gain over the reported 57 sells. We now sell FLWS, QMAR, and RIO, and buy GGB, BVN, and MDR.

QHF Closed Trades (no changes):
Winners: 39, avg +76.5%
Losers: 20, avg -22.4%
Total: 59, avg +43.0%

Regards,

Karel

[spikefader]

Thanks Spike! Yes, the curves looks nice, which must mean something, if not another! But I think they abstract very much from the Real World. Look at this curve (orange is my fund, green, blue and brown are the S&P500, Nasdaq, and DJIA, and purple is the Marketocracy Masters 100 Fund, MOFQX):



It is a lot bumpier than the worst curves from the Kelly Value indicate.

I think one of the reasons for this is that the calculation assumes totally independent outcomes, while in the Real World the losses clump together in bad periods for the market. Or something.

Anyway, thanks for devoting a thread to me!

Regards,

Karel

Karel,
I've been giving some thought as to what the equity curve that this generator creates actually means for you. The chart represents the equity curve over a period of 453 trades. You've only made 59 trades, about 1/8th of the way along that curve, or in figure terms, it says you've turned $100 into $200 (roughly). Your actual chart that you show since
2002 shows you've turned $10 into roughly $30. So your actual performance is better than the generator. So in 75 years, you're going to end up turning $100 into $1000.

Nice numbers.

[Karel]

Need I say this was a bad week? No? OK, then let's go to the numbers:

QHF: 34.29 (-2.4%)
QHF-: 30.84 (-3.9%)
QQQQ: 29.98 (-2.0%)
SPY: 28.14 (-4.3%)
IWM: 27.62 (-5.6%)

Hall of fame: DWSN +4.6%, WCG +2.6%, GEO +2.5%
Hall of shame: GLF -9.4% (the stock I decided not to replace last week!), RIO -7.4%, VIP -6.4%

The new Top 3 Picks are CHNG, FTK and ACH. Two Chinese stocks! Do we need a new stock for QHF? No, because we have given GLF the benefit of the doubt, last week. Its first week on probation was rather bad (worst performer of the portfolio), so perhaps I have a chance not only to rue my sale of MICC, but also not selling GLF!

The baseline fund got rid of FLWS, QMAR, and RIO, for an average gain of 40.6% (yes, you read that right), or an 8.2% average gain over the reported 60 sells. We now sell VDSI and MT. We can't sell SGGGY, a pink sheet stock, as we could't get one single share in the course of a week. No more pink sheets! We buy CHNG, ACH, and RIO.

QHF Closed Trades (no changes):
Winners: 39, avg +76.5%
Losers: 20, avg -22.4%
Total: 59, avg +43.0%

Regards,

Karel

[Karel]

Karel,
I've been giving some thought as to what the equity curve that this generator creates actually means for you. The chart represents the equity curve over a period of 453 trades. You've only made 59 trades, about 1/8th of the way along that curve, or in figure terms, it says you've turned $100 into $200 (roughly). Your actual chart that you show since
2002 shows you've turned $10 into roughly $30. So your actual performance is better than the generator. So in 75 years, you're going to end up turning $100 into $1000.

Nice numbers.

Hello Spike,

yes, that makes sense. I think there is another factor that explains the relative "spikyness" of the Marketocracy graph, compared with the Equity Curve. The Marketocracy graph is a weekly or daily curve of the portfolio value, while the Equity Curve only considers closed trades. (Where else did we hear that again?) I think this also accounts for a smoothening effect.

Thank you for your contributions!

Karel

[Karel]

New Top 3: PCU, NOV, and GTLS

Interesting times! What happened to $$$Mr. Market$$$'s VDSI is nothing to what happened to WCG, one of the stocks in my Marketocracy fund. WCG got slaughtered to the tune of -73% after an investigation by state and federal agencies. That would account for a 4% drop in the fund, taken on its own. So let's look at the numbers:

QHF: 35.32 (+3.0%)
QHF-: 32.29 (+4.7%)
QQQQ: 30.83 (+2.8%)
SPY: 28.88 (+2.6%)
IWM: 28.64 (+3.7%)

We get a hint of the reason for the +3.0% when we look at the halls of fame and shame:
Hall of Fame: DECK +33.5%, MTL +22.3%, VIP +12.7%
Hall of Shame: WCG -73.0%, VSEA -13.2%, DWSN +0.1%

In fact a lot of stocks did very well, so that the two heavy losers couldn't stop the triumphant progress of the fund.

The new Top 3 Picks are PCU, NOV, and GTLS. Do we need a new stock for QHF? Yes, because we kick WCG out (good luck I don't own it with real money). I don't know what to make of the raid, so all my expectations are off. I'll replace it with NOV.

The baseline fund got rid of VDSI and MT. We can't sell SGGGY, for an average gain of 11.4%, or an 8.3% average gain over the reported 62 sells. Had we been able to get and sell SGGGY, a pink sheet stock, the numbers probably wouldn't have been any worse. This week we sell VIP, NOV and MTW, and we buy DECK, NOV(!), and VIP(!).

QHF Closed Trades (no changes):
Winners: 39, avg +76.5%
Losers: 20, avg -22.4%
Total: 59, avg +43.0%

Regards,

Karel

[billyjoe]

Kerel,
I don't know how you rate stocks, but we must be doing something similar. My top 25 ratings have VIP 3rd , MTL 6th , and DECK 9th.

Here's the top 10:
1. MOS
2. SPWR
3. VIP
4. FLIR
5. ZRAN
6. MTL
7. SCHN
8. AXYS
9. DECK
10. SID

---------------billyjoe

[spikefader]

Hello Spike,

yes, that makes sense. I think there is another factor that explains the relative "spikyness" of the Marketocracy graph, compared with the Equity Curve. The Marketocracy graph is a weekly or daily curve of the portfolio value, while the Equity Curve only considers closed trades. (Where else did we hear that again?) I think this also accounts for a smoothening effect.

Thank you for your contributions!

Karel

Great!

Yep, I think you are correct about the smoothening effect.

In any case, I think it's safe to assume that the equity curve numbers I mentioned earlier are a good reflection of reality, and for the benefit of any forum members who don't know what that really means........your system is outstanding!

Math expectancy of 1.948 and kelly of 0.59 are insanely HUGE numbers and definately worth following. I don't know how many people actually read this thread, but it's a gold mine.

As far as math expectancy, anything over 0.4 is excellent. Yours is close to 5 times better than excellent! And from what I've read, that kelly number really means that it is "statistically safe" (whatever that really means) to invest up to 59% of one's total portfolio value in the system.

So right back at ya: Thank you for your contributions!

I'd encourage everyone to rate this thread a five and read it regularly. And give Karel some feedback for the love of Pete! It's always nice to hear a little praise and thanks for good work.

[Karel]

New Top 3: PCU, DWSN, NOV

A day late, but here is my report:

QHF: 34.18 (-3.2%)
QHF-: 31.35 (-2.2%)
QQQQ: 31.11 (+0.9%)
SPY: 28.42 (-1.6%)
IWM: 27.78 (-3.0%)

Hall of Fame: RIO +2.5%, GEO 2.0%, VSEA 2.0%
Hall of Shame: GRMN -16.0%, GLF -12.0%, GNK -8.2%

The new Top 3 Picks are PCU, DWSN, and NOV. Do we need a new stock for QHF? Yes, because I decided to stop outguessing myself and kick out GLF. The Top 3 is already held by my fund, so the replacement stock will be LXU.

WCG got sold for 32.43; a loss of -61.3% in about 8 months. NOV was bought at 73.67.

The baseline fund got rid of VIP, NOV and MTW, for an average gain of 21.5%, or an 8.9% average gain over the reported 65 sells. This week we sell PCU, MTL, and FWLT, and we buy PCU(!), FWLT(!), and LXU.

All trades were effected yesterday, at the open, as far as Marketocracy allows.

QHF Closed Trades:
Winners: 39, avg +76.5%
Losers: 21, avg -24.25%
Total: 60, avg +41.3%

Regards,

Karel

[billyjoe]

Karel,
Do you have any opinion or knowledge of NHY? Thank you.

--------------billyjoe

[New-born baby]

Karel,
Do you have any opinion or knowledge of NHY? Thank you.

--------------billyjoe

Ugly chart.

[Karel]

Ugly chart.

No, I don't think so. The drop was a huge cash dividend. Dividend adjusted NHY really gained 7.5% or so from Oct 11 onward. Revenue is down year over year, earnings are up, and there has been quite some merging and splitting going on. It doesn't look bad, but I really don't know. A real problem for me is that the stock is going to get delisted, so access to a European exchange would be almost required (unless you love pink sheets).

Regards,

Karel