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Compare

Use this tab to chart and compare multiple strategies, as well as view details of the trades that made up the strategies.

Basic Functions

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  1. Strategy Parameters
    – % to Sell: The percentage of your total assets to sell each rebalance period.
    – # to Buy: The number of funds to reinvest the cash raised from selling
    – Rebalance: The frequency to reallocate the portfolio
    – Rank Period: The time period to rank the family. (ie… rebalance monthly, rank family using previous quarter)
    – Trade Delay: How many market days to offset the trade after the ranking. 1 day delay is default.
    – Family: The list of available funds to reinvest cashed raised from selling.
    – Ranking: Method to rank the “Family”
    – Model:This defines what issues to sell and how to re-allocate capital from sales.
  2. Statistics for strategies. Statistics are calculated for the date range of the chart (also listed above the statistics)
  3. Run button. Press this button to calculate and chart the strategies defined in the parameters section.
  4. Model start date. The model start date defines when FT Rebalance start applying the strategy to the portfolio. Each strategy starts with $100,000 in money market on the start date, so, if you set the model start date to 9/1/99, then all dates prior to 9/1/99 are money market returns and all dates past 9/1/99 are the results of the strategy.
  5. Benchmark is shown as the dark grey line on the chart. It is also used as the basis when calculating the correlation and UPI.
  6. Add additional tickers to the chart.
  7. Click to enlarge chart.
  8. Short cuts to change the date range of the chart.
  9. Dial in a specific date ranges. Click the calendar to display a date selector or highlight the text and directly type the desired date. Press “Apply” button to finalize.

Advanced Functions

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  1. Show or hide strategy line on chart.
  2. Press the [+] icon to show “rank period” option. By default, the compare tab is set so the rebalance and rank by period are the same. ie: for a monthly rebalance, we rank the family using the prior 1 month’s data. But, you can also rank by a time period different than the rebalance period. For example, this can accomplish a strategy where assets are reallocated every month, but based on a quarterly ranking of the family.
  3. In addition to ranking by calendar dates (monthly, quarterly, etc), clicking the check box next to the rebalance drop down will show a number box that indicates the number of market days to rebalance.
  4. Click the “1–>4 button to copy the value in the red column across to the green, orange, and blue columns.
  5. FT Rebalance has five different models. Momentum Rank high to low. ie, buy the items with the highest ranking and sell items with lowest ranking Value Rank low to high. ie, buy the items with the lowest ranking and sell items with highest None Apply no model. Equal weight “% to sell” with all members of family every rebalance day Static Define your allocations upfront such as 80% VFINX (S&P 500), 20% VUSTX (Long Gov’ts) and true up to this allocation every rebalance day Advanced A blend of a static strategy and a momentum strategy. Define up to 4 momentum strategies, then allocate fixed percentage of portfolio to those strategies. This allows for charting strategies such as: 20% bond momentum strategy, 15% international strategy, 65% Equities strategy.
  6. Click once to shade the max draw down period on the chart. Click again to remove shade from chart.
  7. This applies only when using the sharpe ranking. The sharpe ratio is a function of three inputs 1) rebalance line’s annual return, 2) basis line annual return, 3) rebalance line’s standard deviation
    If the checkbox next to “Defined basis” is CHECKED, the basis will be the defined issue. If unchecked, the basis will be the rebalance line’s annualized return over the period.
  8. Click the “show log” button to create a trading log and a totals log. Trading log reports all buys and sells for the strategy and the totals log reports the end of day values for all market days.┬áThe log is helpful when auditing/double checking the strategy output.

Chart Interaction

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Show details of positions of each strategy

  1. Press and hold the shift key on the keyboard, then move the mouse over the chart. This will cause a “details” window to appear. Each line on the chart is a composite of many different funds. The details window shows the holdings for a specific date.The color of the window corresponds to the colored line on the chart. Use the color selector under the run button (at “2” location) to change the detail window or press “R” for red, “G” for green, “Y” for yellow, or “B” for blue.
  2. The selected color is the color that will display following the directions in #1

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Show return between two poles.

  • Left click once and hold. Keep holding the left mouse button and move the mouse. This will plant a “bold pole” where you left click, and then attach a thin pole to the mouse pointer.
  • The colored flags next to the thin pole are the percent return and annualized percent return of for the dates between the poles.
  • Let go of the left mouse button and the thin pole will plant where you let go
  • Click one more time to remove both polls.
  1. Percent return between poles
  2. Bold pole
  3. Number of market days between the poles
  4. Thin pole

FAQ

  1. Q: What is the purpose of this tab? A: The Compare tab allows you to easily compare and back test different momentum models. It also displays statistics and logs related to each model.
  2. Q: Where do I start? A: The upper left portion of the screen shows four colored columns. Each column represents a different model. Each column contains parameters for each model. Vary the parameter values to produce different models. Once your parameters are set, press the “Run” button in the upper right corner.
  3. Q: What do the parameters mean?
    A:

    • – % to Sell: The percentage of your total assets to sell each rebalance period.
    • – # to Buy: The number of funds to reinvest the cash raised from selling
    • – Rebalance: The frequency to reallocate the portfolio
    • – Trade Delay: How many market days to offset the trade after the ranking. 1 day delay is default.
    • – Family: The list of available funds to reinvest cashed raised from selling.
    • – Ranking: Method to rank the “Family”
    • – Model: Order of ranking.
      • Momentum = highest to lowest (sell losers, buy winners),
      • Value = lowest to highest (sell winners, buy losers),
      • None = evenly distribute among all available funds.
  4. Q: What is the model start date (box on middle right side)? A: This is the date to start the model. Each model starts with $100,000 invested in VMMXX on the first date.
  5. Q: What is the “Holdings” tab on the bottom left side? A: The momentum model SELLS A PERCENTAGE of assets and BUYS A FIXED NUMBER of funds. The means the actual number of funds held will fluctuate over time. The chart on the Holdings tab has a Y axis of # of funds and an X axis of time. This tab is used to inspect the change in holdings over time.
  6. Q: Why is there a black line on the chart? A: The black line is the benchmark fund. The default value is VFINX, Vanguard S&P 500 Index Fund. The benchmark is also the basis for the Ulcer Performance Index and Correlation.