Began April 2013. Back to its previous high after 211 days.
Performance
What the strategy would have returned, and what it cost to hold.
The published rules, applied to market data from July 2010: what they produced, what holding them required, and what they cost.
These are simulated results. No money was managed over this period, and nothing here is a record of executed trades. The four qualifications that bound every figure on this page are set out directly below the record.
The record
What the simulation produced
Annualised return
19.0%
Compounded after costs, over the whole period. It is what the curve compounds to, not a figure any account received.
July 2010 to September 2026. One series, one convention: $10,000 at the start, every change applied on the published rules, five basis points of cost per side. The curve is on a logarithmic axis, so the same distance always means the same multiple.
Simulated, 2010-07-13 to 2026-09-21. Logarithmic axis, weekly sample.
Show the figures (one point per year, of 847 weekly)
| Date | Value of $10,000 |
|---|---|
| 2010-07-13 | $10,000 |
| 2011-07-06 | $13,685 |
| 2012-07-04 | $16,441 |
| 2013-07-03 | $23,092 |
| 2014-07-02 | $27,282 |
| 2015-07-01 | $28,247 |
| 2016-06-29 | $32,104 |
| 2017-06-28 | $37,595 |
| 2018-06-27 | $44,483 |
| 2019-06-26 | $53,087 |
| 2020-06-24 | $62,850 |
| 2021-06-23 | $84,687 |
| 2022-06-22 | $89,807 |
| 2023-06-21 | $99,623 |
| 2024-06-19 | $120,999 |
| 2025-06-18 | $138,847 |
| 2026-06-17 | $162,758 |
| 2026-09-21 | $167,055 |
- Deepest fall
- -9.8%
- From a high, before recovery
- Volatility
- 8.4%
- Annualised
Read this first
Simulated, not traded
The rules are applied to historical prices. No account followed them over this period, and no order was placed. Results a real account would have obtained differ.
Presented on a reduced basis
The figures shown apply a deliberate reduction to the periodic returns of the model, and the whole curve is rebuilt from them. Volatility and drawdown fall with the return, because they are properties of the same path. This is the only series this page shows.
Costs included
Five basis points of transaction cost per side, applied on every change. Taxes, spreads and the cost of your own broker are not included.
Not the author's own use
Nicolas has followed a portfolio personally since May 2026. That is a private use, on a short period, and it is not part of this series and not audited.
Year by year
Not every year looks like the average
An annualised figure is an average, and no single year is the average. Over the whole period the simulation has no losing year, and the first and last are partial: they are kept, because removing them would flatter that count.
2010 and 2026 are partial years.
Show every year
| Period | Value |
|---|---|
| 2010 | 7.1% |
| 2011 | 37.1% |
| 2012 | 18.9% |
| 2013 | 52.9% |
| 2014 | 2.9% |
| 2015 | 3.4% |
| 2016 | 18.2% |
| 2017 | 31.1% |
| 2018 | 4.4% |
| 2019 | 15.1% |
| 2020 | 41.9% |
| 2021 | 21.9% |
| 2022 | 1.7% |
| 2023 | 15.3% |
| 2024 | 19.6% |
| 2025 | 19.8% |
| 2026 | 8.4% |
Show every quarter (65)
| Quarter | Return |
|---|---|
| 2010Q3Partial period | 4.5% |
| 2010Q4 | 2.5% |
| 2011Q1 | 0.8% |
| 2011Q2 | 26.2% |
| 2011Q3 | 2.4% |
| 2011Q4 | 5.3% |
| 2012Q1 | 11.0% |
| 2012Q2 | 0.3% |
| 2012Q3 | 7.9% |
| 2012Q4 | -1.0% |
| 2013Q1 | 28.9% |
| 2013Q2 | 2.2% |
| 2013Q3 | 3.7% |
| 2013Q4 | 11.9% |
| 2014Q1 | -0.2% |
| 2014Q2 | 2.1% |
| 2014Q3 | -1.1% |
| 2014Q4 | 2.1% |
| 2015Q1 | 1.2% |
| 2015Q2 | 1.5% |
| 2015Q3 | -2.2% |
| 2015Q4 | 2.9% |
| 2016Q1 | 7.6% |
| 2016Q2 | 5.4% |
| 2016Q3 | 1.1% |
| 2016Q4 | 3.1% |
| 2017Q1 | 5.3% |
| 2017Q2 | 5.7% |
| 2017Q3 | 6.9% |
| 2017Q4 | 10.2% |
| 2018Q1 | -0.4% |
| 2018Q2 | 1.8% |
| 2018Q3 | 4.0% |
| 2018Q4 | -1.0% |
| 2019Q1 | 7.5% |
| 2019Q2 | 6.4% |
| 2019Q3 | 0.1% |
| 2019Q4 | 0.5% |
| 2020Q1 | 6.1% |
| 2020Q2 | 12.8% |
| 2020Q3 | 5.8% |
| 2020Q4 | 12.1% |
| 2021Q1 | 7.0% |
| 2021Q2 | 6.1% |
| 2021Q3 | 0.0% |
| 2021Q4 | 7.3% |
| 2022Q1 | -3.4% |
| 2022Q2 | 1.0% |
| 2022Q3 | -1.3% |
| 2022Q4 | 5.6% |
| 2023Q1 | 4.1% |
| 2023Q2 | 3.3% |
| 2023Q3 | -1.5% |
| 2023Q4 | 8.9% |
| 2024Q1 | 8.7% |
| 2024Q2 | 3.2% |
| 2024Q3 | 3.6% |
| 2024Q4 | 2.8% |
| 2025Q1 | 0.5% |
| 2025Q2 | 9.5% |
| 2025Q3 | 6.1% |
| 2025Q4 | 2.6% |
| 2026Q1 | 0.0% |
| 2026Q2 | 4.8% |
| 2026Q3Partial period | 3.4% |
The cost of holding
How far it fell below its own high
A return you never received is easy to accept. A fall you watched is not. This is the distance below the previous high, month by month, for sixteen years. The weekly figures are in the table.
Monthly. The trough shown is the deepest fall of the whole period, unchanged by the sampling.
Show the figures (one point per month)
| Date | Below previous high |
|---|---|
| 2010-07-13 | 0.0% |
| 2010-07-29 | -0.4% |
| 2010-08-26 | -0.1% |
| 2010-09-27 | -0.1% |
| 2010-10-21 | -0.9% |
| 2010-11-24 | -0.0% |
| 2010-12-16 | -0.9% |
| 2011-01-18 | -2.9% |
| 2011-02-11 | -2.9% |
| 2011-03-16 | -2.2% |
| 2011-04-12 | -0.9% |
| 2011-05-05 | -1.7% |
| 2011-06-02 | -0.9% |
| 2011-07-01 | -1.5% |
| 2011-08-01 | -0.1% |
| 2011-08-26 | -1.6% |
| 2011-09-22 | -3.0% |
| 2011-10-20 | -1.4% |
| 2011-11-23 | -3.6% |
| 2011-12-19 | -3.9% |
| 2012-01-13 | -0.8% |
| 2012-02-10 | -0.5% |
| 2012-03-08 | -0.3% |
| 2012-04-10 | -2.7% |
| 2012-05-09 | -2.7% |
| 2012-06-03 | -6.1% |
| 2012-06-28 | -1.9% |
| 2012-07-26 | -0.6% |
| 2012-08-23 | -2.5% |
| 2012-09-26 | -1.5% |
| 2012-10-24 | -2.9% |
| 2012-11-15 | -5.2% |
| 2012-12-15 | -2.5% |
| 2013-01-10 | -1.1% |
| 2013-02-07 | 0.0% |
| 2013-03-13 | -0.5% |
| 2013-04-04 | 0.0% |
| 2013-05-02 | -7.9% |
| 2013-06-05 | -8.3% |
| 2013-06-27 | -9.8% |
| 2013-07-30 | -7.0% |
| 2013-08-22 | -7.1% |
| 2013-09-24 | -6.2% |
| 2013-10-17 | -5.0% |
| 2013-11-20 | -1.8% |
| 2013-12-12 | -2.0% |
| 2014-01-13 | -1.0% |
| 2014-02-08 | -2.3% |
| 2014-03-08 | -0.6% |
| 2014-04-07 | -1.5% |
| 2014-05-07 | -1.5% |
| 2014-06-02 | -0.9% |
| 2014-06-26 | -0.1% |
| 2014-07-30 | -0.5% |
| 2014-08-21 | -0.5% |
| 2014-09-23 | -1.1% |
| 2014-10-16 | -2.8% |
| 2014-11-13 | -0.4% |
| 2014-12-16 | -1.7% |
| 2015-01-14 | -0.8% |
| 2015-02-09 | -0.1% |
| 2015-03-11 | -1.5% |
| 2015-04-02 | -1.2% |
| 2015-04-30 | -0.7% |
| 2015-05-29 | -0.6% |
| 2015-06-25 | -1.1% |
| 2015-07-27 | -2.4% |
| 2015-08-25 | -4.8% |
| 2015-09-23 | -4.0% |
| 2015-10-21 | -2.5% |
| 2015-11-13 | -4.7% |
| 2015-12-10 | -3.9% |
| 2016-01-12 | -4.3% |
| 2016-02-09 | -2.7% |
| 2016-03-08 | -0.7% |
| 2016-04-05 | -1.0% |
| 2016-05-04 | -1.3% |
| 2016-05-31 | -0.1% |
| 2016-06-27 | -3.3% |
| 2016-07-25 | -0.7% |
| 2016-08-24 | -0.4% |
| 2016-09-16 | -1.4% |
| 2016-10-17 | -2.5% |
| 2016-11-14 | -1.1% |
| 2016-12-14 | -0.7% |
| 2017-01-11 | -2.0% |
| 2017-02-02 | -0.8% |
| 2017-03-08 | -1.7% |
| 2017-04-05 | -0.7% |
| 2017-05-03 | -0.1% |
| 2017-05-27 | -1.2% |
| 2017-06-27 | -1.2% |
| 2017-07-24 | -0.0% |
| 2017-08-21 | -1.3% |
| 2017-09-20 | -0.1% |
| 2017-10-17 | -0.3% |
| 2017-11-12 | -2.3% |
| 2017-12-09 | -0.6% |
| 2018-01-10 | -0.1% |
| 2018-02-05 | -5.1% |
| 2018-03-01 | -4.4% |
| 2018-04-02 | -6.3% |
| 2018-05-02 | -5.1% |
| 2018-05-29 | -3.8% |
| 2018-06-27 | -3.8% |
| 2018-07-19 | -1.7% |
| 2018-08-16 | -1.4% |
| 2018-09-17 | -1.0% |
| 2018-10-11 | -4.2% |
| 2018-11-14 | -2.6% |
| 2018-12-06 | -2.3% |
| 2019-01-03 | -2.3% |
| 2019-02-06 | -0.1% |
| 2019-03-06 | -1.0% |
| 2019-03-28 | -0.6% |
| 2019-04-25 | -0.8% |
| 2019-05-23 | -0.9% |
| 2019-06-20 | -0.3% |
| 2019-07-23 | -0.4% |
| 2019-08-15 | -0.3% |
| 2019-09-18 | -0.3% |
| 2019-10-15 | -0.9% |
| 2019-11-11 | -1.3% |
| 2019-12-09 | -1.3% |
| 2020-01-08 | -0.2% |
| 2020-02-04 | -0.5% |
| 2020-02-28 | -1.2% |
| 2020-04-01 | -3.8% |
| 2020-04-23 | -1.7% |
| 2020-05-24 | -0.8% |
| 2020-06-24 | -3.6% |
| 2020-07-16 | -0.3% |
| 2020-08-19 | -0.6% |
| 2020-09-10 | -3.7% |
| 2020-10-08 | -2.4% |
| 2020-11-07 | -1.0% |
| 2020-12-09 | -0.8% |
| 2021-01-04 | -0.8% |
| 2021-01-31 | -2.2% |
| 2021-02-28 | -3.7% |
| 2021-03-25 | -1.6% |
| 2021-04-22 | -0.7% |
| 2021-05-21 | -0.3% |
| 2021-06-18 | -2.1% |
| 2021-07-19 | -1.8% |
| 2021-08-18 | -1.4% |
| 2021-09-10 | -1.4% |
| 2021-10-12 | -2.7% |
| 2021-11-10 | -0.7% |
| 2021-12-03 | -2.9% |
| 2022-01-05 | -1.1% |
| 2022-01-27 | -5.5% |
| 2022-02-25 | -3.2% |
| 2022-03-28 | -3.2% |
| 2022-04-27 | -3.8% |
| 2022-05-19 | -4.5% |
| 2022-06-21 | -2.1% |
| 2022-07-14 | -3.3% |
| 2022-08-17 | -0.9% |
| 2022-09-14 | -2.7% |
| 2022-10-12 | -6.9% |
| 2022-11-03 | -3.9% |
| 2022-12-07 | -1.9% |
| 2023-01-04 | -1.1% |
| 2023-01-30 | -0.4% |
| 2023-03-01 | -1.5% |
| 2023-03-28 | -0.6% |
| 2023-04-26 | -1.5% |
| 2023-05-24 | -1.0% |
| 2023-06-21 | -0.5% |
| 2023-07-16 | -0.5% |
| 2023-08-16 | -2.1% |
| 2023-09-13 | -1.5% |
| 2023-10-05 | -4.0% |
| 2023-11-02 | -2.2% |
| 2023-12-06 | -0.5% |
| 2024-01-03 | -1.2% |
| 2024-01-31 | -0.9% |
| 2024-02-22 | 0.0% |
| 2024-03-26 | -0.4% |
| 2024-04-19 | -2.7% |
| 2024-05-22 | -0.2% |
| 2024-06-13 | 0.0% |
| 2024-07-17 | -0.9% |
| 2024-08-08 | -3.8% |
| 2024-09-06 | -2.7% |
| 2024-10-07 | -0.7% |
| 2024-11-03 | -1.3% |
| 2024-11-28 | -0.7% |
| 2024-12-31 | -2.0% |
| 2025-01-27 | -1.1% |
| 2025-02-25 | -2.0% |
| 2025-03-21 | -4.0% |
| 2025-04-21 | -3.1% |
| 2025-05-21 | -0.6% |
| 2025-06-18 | -0.7% |
| 2025-07-15 | -0.4% |
| 2025-08-07 | -0.6% |
| 2025-09-05 | -0.1% |
| 2025-10-07 | -0.1% |
| 2025-11-04 | -1.4% |
| 2025-11-27 | -0.5% |
| 2025-12-31 | -0.9% |
| 2026-01-22 | -0.5% |
| 2026-02-23 | -0.9% |
| 2026-03-20 | -2.0% |
| 2026-04-21 | -0.5% |
| 2026-05-19 | -1.9% |
| 2026-06-17 | -2.9% |
| 2026-07-13 | -3.6% |
| 2026-08-06 | -1.3% |
| 2026-09-09 | -1.3% |
| 2026-09-21 | -0.8% |
Time below a previous high
82.2%
This is the figure most readers do not expect. Being below a previous high is the ordinary state of a rising curve, not the exception: the fall is shallow, and it lasts. A holder who judges the strategy by whether it is at a new high will conclude it is failing most of the time.
The three that asked the most
Any fall of more than five per cent from a high, until that high is regained. The rule was set before the series was read, which is why the deepest of them is also the deepest fall of the whole period, already shown above.
Began August 2022. Back to its previous high after 108 days.
Began January 2018. Back to its previous high after 210 days.
Show every episode (9)
| Started | Deepest | Fall | Days to recover | Recovered |
|---|---|---|---|---|
| April 2012 | June 2012 | -6.1% | 90 | Yes |
| October 2012 | November 2012 | -5.2% | 104 | Yes |
| April 2013 | June 2013 | -9.8% | 211 | Yes |
| January 2018 | February 2018 | -6.7% | 210 | Yes |
| September 2020 | September 2020 | -6.1% | 71 | Yes |
| January 2022 | January 2022 | -5.5% | 205 | Yes |
| August 2022 | October 2022 | -6.9% | 108 | Yes |
| July 2024 | August 2024 | -5.4% | 64 | Yes |
| February 2025 | March 2025 | -5.6% | 77 | Yes |
Whenever you had started
The result barely depends on the day you began
A calendar year starts on one date. A rolling window starts on every date. Counting all of them is the only way to answer the question a reader actually has, which is not how the strategy did in 2017 but how it did if they had been the one holding it.
Positive 12-month periods
99.9%
Of every rolling twelve-month window in the period, measured on the daily series. One window in that count is negative, and its figure is beside it.
- Worst twelve months
- -0.8%
- Cumulative over the window
Longer windows
Each figure is the total return over the whole window, not a yearly rate. The annualised equivalent is in its own column.
| Window | Windows counted | Weakest, cumulative | Median, cumulative | Strongest, cumulative | Median, annualised |
|---|---|---|---|---|---|
| 1 year | 5,550 | -0.8% | 17.3% | 59.7% | 17.3% |
| 3 years | 4,819 | 19.7% | 63.5% | 154.0% | 17.8% |
| 5 years | 4,089 | 68.9% | 125.1% | 186.9% | 17.6% |
What it asks of you
How often the allocation is traded
Every change costs something, and a reader who has to place the orders is entitled to know how many there are before subscribing. These figures are not a measure of quality: a strategy that traded twice as often would not be twice as good.
- Weeks with a trade
- 25
- Out of 52, on average
- Weeks with nothing to do
- 52.0%
- Of all publication cycles
- Weight turnover
- 5.3
- Sum of the weights traded, each year
Method
What is in the number, and what is not
What the simulation applies
- The published rules, unchanged over the whole period.
- Prices from the reference market data, adjusted for splits and dividends.
- Five basis points of transaction cost per side, on every change.
- Any share not allocated is held in cash.
What it does not include
- Taxes, which depend on where you live and on your account.
- The spread and the fees of your own broker.
- The difference between a published price and the price you obtain.
- Any judgement applied after the fact to the rules themselves.
The allocation is published every Wednesday
Members receive the target allocation and the note that explains it. Subscriptions are not open yet.