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charles123
Re: How was 2021?

For what it's worth, I can see both sides. Anyone is free to post their success, but it's a fact that those posting are most likely from the successful rather than than unsuccessful. P123 is a great tool for stock picking, but it really is just a quality data source and tool. The key is that each investor must take ownership of their own risk tolerance and invest accordingly.

While Yuval's success is not "one off", it certainly isn't riskless. His microcap model had a drawdown of 50% in 2020. He even noted that in his 2020 review that he did a cash out refinance in February before the crash and put that money in his models. In hindsight that worked out great, but I imagine it didn't feel good at the time. The next time of market turmoil may not lend itself to such a quick recovery, and the time to recover from a 50% drawdown may be many years. My point is that a 73% return inherently comes with a requisite amount of risk. These returns of Yuval's have also been attained in unprecedented favorable market conditions.

This is not meant as a shot to any of those with outsized returns, but rather as a caution to take these stories as a way to pick up some learnings, but not as a blueprint of how to manage risk. Investing is a very psychological pursuit that will test your pain tolerance and have you questioning your methods at the worst possible times.

Overall risk management and portfolio construction including asset diversification is far more important than stock picking models. In the worst times, stock correlations move toward 1 with each other, and factors even invert. If you can't stay in the game, financially or psychologically, having the best model won't matter.

Be careful out there!

Jan 6, 2022 9:00:17 AM       
Jrinne
Re: How was 2021?

I am very happy for people's posts.

I am wondering how much leverage some people were using for some of the results they are posting. That should be a part of any discussion of favorable results in a generally up market with high-beta strategies. Margin with high beta is a great strategy if you know the market direction or you have hedged properly (not a criticism). And it does not hurt if there is more to a strategy than just beta which is obviously the case for many P123 strategies (again not a criticism for the experienced).

Generally, for anyone who has a financial degree or has studied risk in a serious manner, I wonder how much margin they would recommend.

And maybe a gentle recommendation for anyone new to P123 without a proven strategy yet: advice no one would have to follow. All in for their port? Diversify into ETFs in some way? Maybe take a second mortgage on their home along with margin as has been discussed?

I am so sure that there is no one answer for everyone and that my way is not even what is truly the best strategy even for me, that I will not post what I am doing. I am happy to discuss what I do if anyone happens to have an interest (without me recommending anything). I will say it does not involve a second mortgage on my home as I think that should be obvious. There are pros for people who want serious answers (better than mine).

Jim

Great theory, "and yet it moves."
-Quote attributed to Galileo Galilei (1564-1642) gets my personal award for the best real-world use of an indirect proof or reductio ad absurdum.
`

Jan 6, 2022 9:15:20 AM       
Edit 9 times, last edit by Jrinne at Jan 6, 2022 9:55:05 AM
yuvaltaylor
Re: How was 2021?

For what it's worth, I can see both sides. Anyone is free to post their success, but it's a fact that those posting are most likely from the successful rather than than unsuccessful. P123 is a great tool for stock picking, but it really is just a quality data source and tool. The key is that each investor must take ownership of their own risk tolerance and invest accordingly.

While Yuval's success is not "one off", it certainly isn't riskless. His microcap model had a drawdown of 50% in 2020. He even noted that in his 2020 review that he did a cash out refinance in February before the crash and put that money in his models. In hindsight that worked out great, but I imagine it didn't feel good at the time. The next time of market turmoil may not lend itself to such a quick recovery, and the time to recover from a 50% drawdown may be many years. My point is that a 73% return inherently comes with a requisite amount of risk. These returns of Yuval's have also been attained in unprecedented favorable market conditions.

This is not meant as a shot to any of those with outsized returns, but rather as a caution to take these stories as a way to pick up some learnings, but not as a blueprint of how to manage risk. Investing is a very psychological pursuit that will test your pain tolerance and have you questioning your methods at the worst possible times.

Overall risk management and portfolio construction including asset diversification is far more important than stock picking models. In the worst times, stock correlations move toward 1 with each other, and factors even invert. If you can't stay in the game, financially or psychologically, having the best model won't matter.

Be careful out there!


I just want to say that I agree with everything Charles says here (except I would say "may be" rather than "is far" in the last paragraph). My appetite for risk has given me some nice returns, but it is also very dangerous. Sometimes I lose sight of that. Thank you, Charles.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Jan 6, 2022 9:49:44 AM       
rtelford
Re: How was 2021?

I hope this helps answer your question. Ryan can perhaps answer it even better as he wrote a long article for Seeking Alpha about his performance this year.


I think this has turned into an important discussion. I could write a very lengthy post on my thoughts and experience, but I’ll try and keep it as concise as possible.

As I posted, I managed to achieve a 58% return in 2021 (and 49% in 2020). This is without the use of leverage. I usually have 6-8 models on the go, both US and CAD, 20-25 holdings each (see tables below). I wrote about both years’ performance on SA:

https://seekingalpha.com/article/4477668-2021...rnt-investing-performance

https://seekingalpha.com/article/4397082-2020...erview-and-lessons-learnt

Let me add some further background though.

A) Prior to these years, I was overconfident (in hindsight) with resulting underperformance. I started using P123 in 2016 and had some good performance early on, but nearly *all* my models fell apart out of sample. I was essentially out of the market 2018 and 2019, nearly giving up entirely on stock-picking. I spent nearly all of 2019 re-calibrating and performing deep dives on all subjects quantitative investing, learning a lot from the seasoned investors on this forum.

B) I am of the firm belief that the market evolves, can change at any time, and can potentially reduce the effectiveness of my models, or any given factor. For example, I often ask myself if my models just happened to work out well in a low rate environment - maybe in the new "regime" things will be different. For this reason, I spend a *lot* of time on investing to maintain my edge – thinking, challenging my own beliefs, reading, listening to podcasts, doing my own research, writing. Maybe I am fortunate in the sense that investing truly interests me and I am passionate about it, a never-ending puzzle to be solved, so this isn’t really work to me. That said, the kicker is that lots of work is by no means a guarantee of performance, but I do believe it will improve your chances over the long run. While my returns have been quite good the last two years, I am always looking for ways to a) maintain and b) improve my edge.

C) In my “overconfident” phase I used leverage, with initially phenomenal results, followed by disaster. This was a very humbling experience, and provides the basis for my approach in B) above. While I consider using leverage on some of my strategies, I am still very reluctant.

D) "Staying the course" - sometimes this is the hardest part. One great (theoretical) advantage of using quant models is that it removes the emotion from buying and selling. In reality, when markets are volatile, you can easily question your models. I have mostly learned to hold on in times of volatility - if the model is robust, then listen to it, as hard as it is. That said, it's not always black and white - if there is a fundamental change in the market then it may be time to exit the model. Easier said than done.

Like others have commented, investing is very personal (almost like golf) and sometimes it's best to compare yourself to yourself, rather than to others, as the effectiveness of your edge can ebb and flow (differently than others) with the market. I am striving to improve on this point.

All of this said, I consider myself a student of investing, always looking to learn. For more details on my approach/background:
https://seekingalpha.com/article/4443922-my-i...gy-statement-ryan-telford

I’d be happy to chat further with anyone on this.

Cheers,
Ryan

Attachment 2020 returns.png (29349 bytes) (Download count: 173)


Attachment 2021 returns.png (29476 bytes) (Download count: 165)


Ryan Telford -- also find me at:
Seeking Alpha
Twitter

Jan 6, 2022 10:38:42 AM       
Edit 1 times, last edit by rtelford at Jan 6, 2022 10:44:47 AM
ustonapc
Re: How was 2021?

To consistently beat the market, it is all about BBB (in my humble opinion)

- better data (market info, sentiment data, real time data, alternative data)
- better models (without overfitting and strong out-of-sample performance)
- better risk management (risk control guidelines and risk management software)

Down 50% and then Up 50% in the same year (and a few years in a row) is nothing to brag about.
This is called "streaks" in gambling. There is no need for research/data/models, it is easier to just go to Vegas and bet on Banker/Player in Baccarat.

Regards
James

Jan 6, 2022 12:04:52 PM       
Edit 2 times, last edit by ustonapc at Jan 6, 2022 12:40:56 PM
InmanRoshi
Re: How was 2021?

For me personally, I get a lot of utility (ie made money) with P123 and I hope that P123 sticks around a very, very, very long time and if posting about a successful year(s) encourages more subscribers I'm more than happy to contribute. And, yes, I'll echo the sentiment that every model goes through periods of under performance, so ultimately a strong stomach is greater asset than the perfect model. I use very volatile microcap models for money that I don't plan on touching for many years, and can ride out any short term volatility. The only goal is to maximize alpha long term. I also have money invested that I could see myself needing in the next 3-5 years, in which I use a variation of Harry Browne's Permament Portfolio. Different tools for different jobs.

Jan 6, 2022 1:28:14 PM       
Edit 6 times, last edit by InmanRoshi at Jan 6, 2022 1:36:52 PM
ustonapc
Re: How was 2021?

The Best Stock-Fund Managers of 2021
In another tumultuous but positive year, these are the stock pickers who came out on top—led by a 67.7% gain for a small-stock fund

https://www.wsj.com/articles/best-stock-fund-...41674716?reflink=e2twmkts


It looks like some of you beat the performance of best performing mutual fund in 2021.

Regards
James

Attachment USA_BRSVX_data.pdf (90494 bytes) (Download count: 9)


Jan 10, 2022 5:39:00 AM       
Edit 1 times, last edit by ustonapc at Jan 10, 2022 7:33:16 AM
ustonapc
Re: How was 2021?

Gregory Zuckerman
@GZuckerman
·
1 hour ago

The results are in...Renaissance's Medallion hedge fund gained 48% last year, net of (still ridic) fees. Before fees, it is about 69%.

That means some of you not just beat the best performing mutual fund 2021 but also Medallion in 2021.:-)

Regards
James

Jan 11, 2022 1:58:09 PM       
Edit 2 times, last edit by ustonapc at Jan 11, 2022 2:29:08 PM
sevensisters
cool Re: How was 2021?

There are several designer models that did well. The Seven Sisters did 80%, Keating's 20 did 70% and Yuval's Crazy did 55%.


I made around 20% in stocks overall, not quite as good as my designer models. But that is because I only invest 40% in small caps, the rest into large caps (mostly oil and gold) which didn‘t perform well.

Most of my attention in 2021 was in crypto, and that paid off with returns over 10x of the stock market.

Happy investing in 2022 to everybody!

Jan 12, 2022 3:59:39 PM       
sgmd01
Re: How was 2021?

Florian,

Are you buying and holding in Crypto or do you have an active strategy? And if the latter is the case then where do you test it (i.e. software or site)?

All,

I'd like to put things in perspective as the average investor isn't 100% in the SP500 but has a portfolio resembling the ETFs aor, aom, and aoa which returned 10.7, 6.8 and 14.7 % respectively (and if they had an advisor their fees would be reduced by that amount). A 60/40 US stocks/bonds would have returned 15.8 % but that is a less realistic portfolio for most investors as they have an international component.

Scott

Jan 13, 2022 10:48:58 AM       
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