Appendix D
Study of the COP Strategy Using the COP Research Model which contains the Monthly Returns of 50 Asset Classes over 17 Years (180 Monthly Returns)
(Not all 25 years available are currently included.)
The appendix C-Study used 30 asset classes and 10 years of annual returns. The natural concern with this study is that annual data can smooth over the volatility of the monthly returns. One might wonder if the volatility of monthly returns, or as some call it “noise” of monthly returns, might make it difficult to utilize this strategy, or if in fact, if the strategy would even work at all. Fortunately, the strategy works better due to the faster response of monthly action. Here is a comparison of the results.
Return APR 5-Yrs @ 10 Yrs @
This APR This APR
S&P500 Fund 11.38% 171% 294%
Appendix C, Annual Data, 10 Yrs
- Invest 1-Yr Late 12.37% 179% 321%
Appendix D, Monthly Data, 180 Months
Top 15 Classes
- Invest One Month Late 17.97 228% 522%
- Invest One and 1/2 Months
Late
Top 8 Classes
- Invest In Next Month 19.48% 243% 593%
- Invest In Middle of Next Month*
*Study not yet complete
The average standard deviation, or volatility, of in vesting in the top 15 is about 18% lower than that of the S&P500, while, when investing in the top 8 it is about the same as the S&P.
Attached is a chart showing comparative returns generated by a 15 year period (1991 through 2005).
The COP Research Model is controlled by a panel of variables and produces many pages of data, color coded charts and graphs. They provide a rich opportunity to discover “why, why not and/or what if.”
“The purpose of models is to --- sharpen the questions” – Samuel Karlin
------------------------------------------------------------------------------------------------------------
Some data contained herein was derived from data obtained from Morningstar Direct a service product of Morningstar and Morningstar requires this notice with regard to that data:
© Morningstar 2005. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is no guarantee of future results.
