SmartAlpha new release (simulated data and more)

Dear All,

Thanks for all the feedback. We’ve released the following changes:

Search

Added a way to search for models based on the average exposure to the market. For example you can find models that are in cash at least 20% of the time pick “% Invested → Less than 80%”.

The Designer drop-down is back , next to the search field. Just click on the person icon to get the list of designers publishing models.

Model Details

There’s a “Simulation” tab now in the chart. You will need to agree to some terms and it only shows the simulation data after 9 months a have passed since launch. The chart is very different than the rest of the site. It sets the benchmark & model to 100 on launch date and it’s shows in log scale. We think it’s very handy to quickly see if the OOS performance is inline with IS performance:

Also back are the % Invested chart and Max drawdown in the Simulation tab.

The average “% Invested” is show in the model description. It’s the average including simulated data.

Thanks again

Hi Marco,

this is a great solution!

Just for clarification: what does the number on the lower left stand for? It doesn’t seem to be related to the Y-scale.


sim.jpg

Very cool!

I just looked at some R2Gs through the simulation chart presented by Marco on the 1st page of this thread and find this chart of a little use.

It is hard to interpret this chart to identify IS vs. OOS performance. Only small amount of R2Gs with severe undeperformance is easily identifiable. It is impossible to identify the degree of underperformance IS vs. OOS, you can’t say if R2G underperforming by -10%, -50% or -100% and decide if this is normal or not. Would it be helpful to chart some averaging (regression?) lines for model simulation, benchmark and excess? Or better just to put stats as Marco was ready to do?

For sure there are daily data for ports available for download. I am just missing the logic in streamlining investors for subscription and then force them to do due diligence with separately downloadable excel files.

Or am I wrong and need another guide on how to use and understand this simulation chart?

I have two new SA models in the pipeline. They will open in about 80 days. Before the Nov-20 change I could follow the day by day progress of the model from launch onward, but now I am unable to see those models. So I can’t see how they are performing on a daily basis. Why are my own models hidden from myself?

The way the backtest is now presented is not very informative, since everything is referenced to the launch date of the model. Previously we could type in any date range. This feature should be re-established.

Now the only way to do a backtest with performance stats is to run the model as a single model in a book. That will provide all the info from inception to end date. For other starting and end dates one must add a dummy simulation model with very small weight. That will provide all the backtest stats for the model from the starting date of the dummy model to end date specified for the dummy model. So since one can easily get the backtest information via a book calculation, I see no point in not making all this data available in the smart alpha section of P123.

Hi Georg,

Are you saying that you can’t see any chart under the ‘Since launched’ tab? I have hidden models, too, and I can see their progress under that tab.

The chart date range can be done with a select and drag action. Are you looking for exact date ranges?

Walter

Walter,
Where is the “Since Launch” Tab. Under “Models” there is a selection box “Only show hidden models”. I check it but only “no models found” comes up.

My recently launched models have disappeared.
I go to “Your Launched Models” > hyperlink to my new model.
This does not take me to my new model but opens the “Browse Models” page.

I know the URLs for the new models because I copied them when I could still get into them.
Two of the models are waiting to open in about 3 months from now are:
https://www.portfolio123.com/app/r2g#/summary?id=1395826
https://www.portfolio123.com/app/r2g#/summary?id=1395827

You can click on those links and it will take you to the “Browse Models” page and not to the model.

Thank you for adding the simulated tab. However, we would still like to see the “annual” performance including max draw down “per year” as we could see before. Also, how to we continue to simulate annual performance (including draw down if) of combining models like we did before?

I like it! What’s not to like?

Georg,

Ok, under Follow->Browse Models page, I get the same behavior as your for the “Only show hidden models” filter; nothing is listed. That seems broken.

I was refering to the Design->Your Launched Models page. There you can see the progress of your hidden models. At least I can. That page looks exactly the same as before the Smart Alpha changes. That is, all your models will be listed - including the hidden ones.

Does clicking the link below take you to my hidden model?

Perhaps the old browsers tricks can help; clear cache, another browser, etc.

Walter

Walter, your link works. I see the model. My new models still not visible even when following Design->Your Launched Models.

Walter, I can see your model that says “this model is not visible”.

“Not visible” seems to be different from “hidden”. There is a “hide” button next to the “favorite” button, and it will be hidden unless you go to My Models and unhide it. Not visible seems to mean that it does not show up on the searches.

Where is the “favorite” button?

also MisterChang the hyperlinks at the bottom of you message refer to closed models.

Thanks, MisterChang. I see the difference now.

Jrinne, rephrasing you: I don’t like it! What’s to like?

Really, take any model sim chart and please, outline your analysis in short here! I understand my subjectivity and I truly want to understand what people like so much about this chart?

We were talking a lot about IS vs. OOS and Marco (1) acknowledged this stats are useful and (2) said he can do this. And then bump… silence… Internal discussions, Marc posted on the forum… silence… nothing in response to my questions (paid membership), no any reasoning… bump and here we go, sim chart about nothing and no any IS vs. OOS stats, not on the pages nor downloadable. Am I dreaming or missing something?

Geov, sorry I meant “watch” button.

tkp, I agree. We are no longer getting what we paid for. You would think we would be getting more not less with an “enhancement” to the site. I agree with what many others have said in regards to appreciation for Marco stepping in to do “something” about issues he felt needed to be dealt with (especially the issues to protect people from losing money on curve fitted models) but surely there is a better way than yanking the carpet out from under us. What about the R2G’s that weren’t curve fitted? I think Marco is trying to protect himself. Only providing since launch results takes away all the inaccuracies of the OOS stats from when he made changes in the background and are no longer true numbers. All the estimate revisions, trade prices on Friday, no Monday, etc. I still say just have a link to the “revised” model anytime Marco makes a change that effects any R2G’s stats. Leave the old stats so we can compare. I do not see much value at all in the new “SmartAlpha”. “I don’t get it” as others have said.

RJJ, You are correct .Again less is usually not more.

Marco - For models I subscribe to, the list of recent trades is gone. Can you please reinstate. thanks, debbie

It is still there.
Click on your model, scroll down to the lower end of the page, to your right.