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Recent evaluations and results

Recent evaluations have been mostly focused on evaluating the following:

  1. Repeatability of the procedure in terms of the variability associated with its possible tracks for each realization.
  2. Determining any additional gain (if any) in terms of returns as a function of the number of portfolios evaluated ( J ) at any given year.
  3. The existence of any indications between current year portfolios' medians and subsequent year (same portfolio) performance. Are there any associations and if so how weak or strong are these?
  4. Investigating a stable and plausible stopping rule and assessing how beneficial it might be to run the random search until this condition is met.

Several experiments were set up to determine if it would be worthwhile to inspect more randomly sought portfolios on a yearly basis as part of the overall procedure. A job simulating a total of 104 tracks (each consisting of J = 25 , 000 portfolios per year over a 43 year period, 1965 though 2008) was submitted to ADA and took approximately three days to complete. Several important observations can be made from the outcomes of these simulations (shown in Figures 3 and 4, below). We note that, here, we can exploit the independence regarding the portfolios evaluated to get 52 tracks of J = 50 , 000 portfolios each by combining pairs of J = 25 , 000 tracks and selecting the maximum of the pair (simply the maximum of a longer execution). Essentially this gives us information regarding what would have happened (in terms of the performance of the strategy should we have run it for twice as long). Analogously, tracks for J = 100 , 000 and J = 200 , 000 portfolios were constructed. Finally, some overall discussion of the results is given after the figures.

Procedure Repeatability and Number of Portfolios Sampled Simulation (Left: J = 25 , 000 tracks, Right: J = 50 , 000 tracks)
Procedure Repeatability and Number of Portfolios Sampled Simulation (Left: J = 100 , 000 tracks, Right: J = 200 , 000 tracks)

The total portfolio value was evaluated at the end of both years 2006 and 2008 and contrasted to both market performance (blue track) and the performance of a single track of a whopping J = 2 , 600 , 000 portfolios considered yearly (green track). As expected the variability of the procedure compounds as a function of time, and by chance we might under-perform the market. However, more often than not the procedure out-performed the market and by a quite reasonable amount. The proportion of portfolio-tracks simulated that were over an equally-weighted alternative at the end of 2006 was over 80% (for the cases where J = 25 , 000 and J = 50 , 000 ) and over 90% (for the cases where we assessed more randomly sought portfolios, i.e. J = 100 , 000 , and J = 200 , 000 ). Also, there is weak evidence suggesting that, although running as many as J = 2 , 600 , 000 portfolios might at times outperform the market, this approach is generally not consistently higher on-average than considering tracks consisting of less yearly-evaluated portfolios.

Another rather interesting observation is made through the scatter-grams produced (see Figure 5, below) assessing the correlation between current year portfolio median and (same portfolio) next year performance contrasted to the performance of the S&P 500 index. The number of portfolios evaluated for this purpose was 2 , 000 , 000 and the those that are highlighted as producing the maximum of the medians represent ( < 0 . 1 % , i.e. < 2 , 000 ). The main purpose of this effort was to assess any associations between the current year medians as a forward-looking measure of portfolio performance (as we intend to pick the maximum and by chance we can pick portfolios of performance similar to those in the top 0.999 percentile). As expected the associations are weak, though not extremely weak (correlations are 0 . 209 for the first case and - 0 . 182 for the second), however can be noticed and depend highly of the year evaluated.

Questions & Answers

where we get a research paper on Nano chemistry....?
Maira Reply
what are the products of Nano chemistry?
Maira Reply
There are lots of products of nano chemistry... Like nano coatings.....carbon fiber.. And lots of others..
Even nanotechnology is pretty much all about chemistry... Its the chemistry on quantum or atomic level
no nanotechnology is also a part of physics and maths it requires angle formulas and some pressure regarding concepts
Preparation and Applications of Nanomaterial for Drug Delivery
Hafiz Reply
Application of nanotechnology in medicine
what is variations in raman spectra for nanomaterials
Jyoti Reply
I only see partial conversation and what's the question here!
Crow Reply
what about nanotechnology for water purification
RAW Reply
please someone correct me if I'm wrong but I think one can use nanoparticles, specially silver nanoparticles for water treatment.
yes that's correct
I think
Nasa has use it in the 60's, copper as water purification in the moon travel.
nanocopper obvius
what is the stm
Brian Reply
is there industrial application of fullrenes. What is the method to prepare fullrene on large scale.?
industrial application...? mmm I think on the medical side as drug carrier, but you should go deeper on your research, I may be wrong
How we are making nano material?
what is a peer
What is meant by 'nano scale'?
What is STMs full form?
scanning tunneling microscope
how nano science is used for hydrophobicity
Do u think that Graphene and Fullrene fiber can be used to make Air Plane body structure the lightest and strongest. Rafiq
what is differents between GO and RGO?
what is simplest way to understand the applications of nano robots used to detect the cancer affected cell of human body.? How this robot is carried to required site of body cell.? what will be the carrier material and how can be detected that correct delivery of drug is done Rafiq
analytical skills graphene is prepared to kill any type viruses .
Any one who tell me about Preparation and application of Nanomaterial for drug Delivery
what is Nano technology ?
Bob Reply
write examples of Nano molecule?
The nanotechnology is as new science, to scale nanometric
nanotechnology is the study, desing, synthesis, manipulation and application of materials and functional systems through control of matter at nanoscale
Is there any normative that regulates the use of silver nanoparticles?
Damian Reply
what king of growth are you checking .?
What fields keep nano created devices from performing or assimulating ? Magnetic fields ? Are do they assimilate ?
Stoney Reply
why we need to study biomolecules, molecular biology in nanotechnology?
Adin Reply
yes I'm doing my masters in nanotechnology, we are being studying all these domains as well..
what school?
biomolecules are e building blocks of every organics and inorganic materials.
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Source:  OpenStax, The art of the pfug. OpenStax CNX. Jun 05, 2013 Download for free at http://cnx.org/content/col10523/1.34
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