Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile | Hi Jim, I guess I wasn’t clear enough. In that section of the post I was referring to a modification I made to the Dynamic Lists (pre-publication) so that they simply wouldn’t trade from 7/28/11 - 8/5/11. By doing that, it removed the trades that resulted in the 28.6% DD because of the credit downgrade. After removing that one downgrade period, the results reflect that the next largest DD for the 15 year simulation was 13.8%. So no, the modification was a manipulation of the trade record and only meant to demonstrate that the credit downgrade was a bit of an outlier and not the norm for the portfolio. The modification is not included in the published portfolio - it was only done as a demonstration, and I could only accomplish it prior to publication. Hope that helps, Mark | |
