I couldn’t get Samsung into the backtest, but the portfolio went up roughly 20% over the first three months, drastically outperforming the S&P 500.
Since then it went down relative to the S&P 500, and is now roughly on par with it, but man, that one sure is up at roughly +35%. Overall a pretty good portfolio, though surprising to me that in the last year, it still didn’t really outperform just the S&P 500.
Unfortunately, comparing the returns isn’t a great way of evaluating the portfolio compared to the S&P 500. You should really be comparing their Sharpe ratios (or just annualized tstat). If you have, for example, 5% annualized returns on $x in excess of the risk-free rate, you can just double your pnl to 10% by borrowing $x more money and investing it (assuming you can borrow at a competitive rate). Why not do that? Well, you’ll also have more variance in your portfolio. Probably what you really care about is risk-adjusted returns.
The most common way to evaluate this is to compare the (daily mean returns)/(daily stdev returns), where maybe you adjust the first thing by the rate you can borrow money at.
(Eyeballing it, SPY was probably like 1.5-2x as good as the other portfolio by this metric.)
Happy to explain more if this is confusing or you’re curious and have other questions.
Edit: I see your other post/comment now that has a Sharpe ratio and portfolio that looked like it outperformed this one; maybe this isn’t new/interesting or useful, but I’ll leave it up in case someone else finds it useful.
This looked really reasonable until I saw that there was no NVDA in there; why’s that? (You might say high PE, but note that Forward PE is much lower.)
You are implying that it is hard to get Samsung expose. Why? On their website [1] they list several ISINs. Some of them I can buy in through my usual broker. They aren’t special.
My current allocation to AI is split something like this:
Obviously this is up a fuckton
Do you have a rough estimate of how much it went up in the last 3 months?
I couldn’t get Samsung into the backtest, but the portfolio went up roughly 20% over the first three months, drastically outperforming the S&P 500.
Since then it went down relative to the S&P 500, and is now roughly on par with it, but man, that one sure is up at roughly +35%. Overall a pretty good portfolio, though surprising to me that in the last year, it still didn’t really outperform just the S&P 500.
Unfortunately, comparing the returns isn’t a great way of evaluating the portfolio compared to the S&P 500. You should really be comparing their Sharpe ratios (or just annualized tstat). If you have, for example, 5% annualized returns on $x in excess of the risk-free rate, you can just double your pnl to 10% by borrowing $x more money and investing it (assuming you can borrow at a competitive rate). Why not do that? Well, you’ll also have more variance in your portfolio. Probably what you really care about is risk-adjusted returns.
The most common way to evaluate this is to compare the (daily mean returns)/(daily stdev returns), where maybe you adjust the first thing by the rate you can borrow money at.
(Eyeballing it, SPY was probably like 1.5-2x as good as the other portfolio by this metric.)
Happy to explain more if this is confusing or you’re curious and have other questions.
Edit: I see your other post/comment now that has a Sharpe ratio and portfolio that looked like it outperformed this one; maybe this isn’t new/interesting or useful, but I’ll leave it up in case someone else finds it useful.
This looked really reasonable until I saw that there was no NVDA in there; why’s that? (You might say high PE, but note that Forward PE is much lower.)
How did you get SMSN exposure?
You can buy GDR common shares via LSE on Interactive Brokers.
You are implying that it is hard to get Samsung expose. Why? On their website [1] they list several ISINs. Some of them I can buy in through my usual broker. They aren’t special.
[1] https://www.samsung.com/global/ir/stock-information/listing-Info/
https://www.investopedia.com/articles/investing/082714/how-invest-samsung.asp