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Three month summary on temporal dynamic analysis with mutual fund data
If appropriate, I would appreciate it if you could consider forwarding of this
mail to Section of Statistic Ecology. Please excuse my cross-postings, if you
received duplicate messages.
Thank you,
T. Jay BAI, Ph.D.
Quantitative Ecologist
MDSM Research
PO Box 272628
Fort Collins, CO 80527
970-490-8345
Bai@gpsr.colostate.edu
http://lamar.colostate.edu/~jbai
============================
An investment using MultiDimensional Sphere Model (MDSM)
Three Month Summary (6/19/98-9/18/98)
Dear Colleagues,
Both vegetation and the stock market are communities: vegetation is a community
of plants, and the stock market is a community of stocks. All the components of
a community share the same resources and compete for the resources; thus, they
are mutually independent to each other. Every single component in the community
exhibits an exponential growth.
Based on above presumptions, we have conducted a mutual fund investment trial
since June 19, 1998 (for background information, please read MDSM Communication
506, Let's Have Some Fun!) This trial was to test and fine tune the
Multi-Dimensional Sphere Model, a model originally designed for vegetation
science. Following is a summary of the test. Table one is the seasonal summary
based on the weekly report of September 18, 1998. The weekly report (table two)
is sorted by values of Average Random Investment (ARI, see bellow), i.e.
A_value.
In table one, the values of the Best Four funds (they were: CFSAX, CUSGX,
COLIX, and CUTLX, see table two) in the last three months totaled $1610.56. If
I could have known and selected these funds three months ago, the value of my
investment would be $8052.80.
On the other hand, the Worst Four funds in last three months were: CTCAX,
CNTAX, NGCAX, and CSMIX. The sum of the worst four was $1321.04. If I had
unfortunately selected these four funds, then the value of my investment would
be $6605.22.
After setting the Best Four as 100% and the Worst Four as 0%, the MDSM was s
coring 78.59%, as its value was $7742.90. At the same time, Average Random
Investment (ARI) was scoring 51.55%, as its value was $7351.51. The temporary
conclusion is that the MDSM performed better than ARI. This test will be
continued, and follow up reports will be posted continuously on the MDSM
mailing list (MDSM@gpsr.colostate.edu) and my home page.
If you are interested in knowing more about the game, please visit the web
site. Copies of all the official transaction confirmations from Liberty Funds
Service, Inc. (Colonial Investors Service) are available upon request.
Thank you for your attention.
T. Jay BAI, Ph.D.
Quantitative ecologist
MDSM Research
POBox 272628
Fort Collins, CO 80527
USA
(970)495-9716
FAX: (970)490-8345
Email: jbai@lamar.colostate.edu
Web page: http://lamar.colostate.edu/~jbai
Attachment:
Table one: comparison of the Best, MDSM, ARI, and the Worst.
4 Funds 5*4 Funds Difference from Worst Percentage
Best 4 1610.56 $8052.80 1447.58 100.00%
MDSM 20 $7742.90 1137.68 78.59%
ARI 20 $7351.51 746.29 51.55%
Worst 4 1321.04 $6605.22 0.00 0.00%
The formulae to calculate the percentages are:
(MDSM - Worst)/(Best-Worst), and
(ARI - Worst)/(Best-Worst), respectively.
Table two. Weekly report of twenty mutual funds sorted by their returns.
Prc619 Avalue Ashare Mvalue Prc918 A_value M_share M_value
SGI 65.375 58.131
TOTAL ($) 8000 7960.79 $7351.51 $7742.90
(CIFAX) 9.25 400 43.24 9.81 $424.22 0 $0.00
CFSAX 10.88 400 36.76 1983.22 11.22 $412.50 0 $0.00
CUSGX 6.64 400 60.24 1983.22 6.80 $409.64 0 $0.00
COLIX 6.52 400 61.35 1997.18 6.55 $401.84 0 $0.00
CUTLX 19.97 400 20.03 19.30 $386.58 103.219 $1992.13
COSIX 7.31 400 54.72 6.98 $381.94 0 $0.00
CSBAX 15.53 400 25.76 14.59 $375.79 0 $0.00
COLFX 10.77 400 37.14 10.07 $374.00 0 $0.00
CGUAX 15.17 400 26.37 14.17 $373.63 0 $0.00
COLHX 7.25 400 55.17 6.62 $365.24 0 $0.00
STMAX 13.81 400 28.96 12.51 $362.35 0 $0.00
CFGAX 19.54 400 20.47 1997.17 17.45 $357.22 0 $0.00
COLGX 21.75 400 18.39 19.36 $356.05 97.95 $1896.31
SRSAX 13.38 400 29.90 11.83 $353.66 0 $0.00
COEAX 15.11 400 26.47 13.28 $351.56 0 $0.00
CONAX 13.42 400 29.81 11.55 $344.26 0 $0.00
CTCAX 4.94 400 80.97 4.15 $336.03 0 $0.00
CNTAX 6.44 400 62.11 5.38 $334.16 329.982 $1775.30
NGCAX 9.39 400 42.60 7.83 $333.55 265.538 $2079.16
CSMIX 33.23 400 12.04 26.36 $317.30 0 $0.00
Where Prc619 are the prices on June 19, 1998;
Avalue are the invested values of an Average Random Investment;
Ashare are the shares of the ARI;
Mvalue are my investment on June 19 using MDSM.
Prc918 are the prices of September 18, 1998;
A_value are the present values of the ARI;
M_value are the present values of my IRA account using MDSM.
TOTAL is the total value at a given time with a given method.
* CIFAX was merged into other funds after we started the game, so it is invalid
now. It was included in the table only to keep the analysis balanced.
** There are $ signs preceding the cells in the seventh and ninth columns that
makes the two important columns stand out while this file is transmitted
through email.
Table three: The symbols and corresponding names of the mutual funds are as
follows:
SGI ShangGao Index
CFGAX Colonial US Stock
CFSAX Colonial Federal Securities
CGUAX Colonial Global Unilities
CIFAX Colonial Intl Fd for Growth
CNTAX Tiger
COEAX Colonial Global Equity
COLFX Colonial Fund
COLGX Colonial Select Value
COLHX Colonial Hi Yld Securities
COLIX Colonial Income Fund
CONAX Colonial Global Natural Res
COSIX Colonial Strategic Income
CSBAX Colonial Stragegic Balanced
CSMIX Colonial Small Stock Fund
CTCAX Tiger Cub
CUSGX Colonial US Government
CUTLX Colonial Unilities Fund
NGCAX Greater China
SRSAX Growth Stock
STMAX TaxManaged Growth
Reference in internet:
For background information on the game:
http://lamar.colostate.edu/~jbai/communications/cm506.html, Let's have some fun
(00)!
For background information on the application:
http://lamar.colostate.edu/~jbai/communications/cm405.html, [SHEN ZHEN GUPIAO
PAI MING BANG (CAO AN)] in Chinese, Inner Mongolian University, Hohhot, China
(in press).
http://lamar.colostate.edu/~jbai/inaction.html, Weekly report of 'MDSM in
Action'.
http://lamar.colostate.edu/~jbai/communications/cm412.html, About Dow Jones
Index and Shang Gao Index.
For background information on MDSM Research:
http://lamar.colostate.edu/~jbai/mdsm55.html, (c)1997, Bai, et. al.,
Multi-Dimensional Sphere Model and instantaneous vegetation trend analysis,
Ecological Modelling, 97, pp75-86.
http://lamar.colostate.edu/~jbai/communications/cm410.html, A Critique of
Matrix Solutions for Ecology, Bulletin of the Ecological Society of America,
1998.
For information on other application (on Electrical Engineering):
http://lamar.colostate.edu/~jbai/communications/cm502.html, Bai, A., et. al.,
Fast Antirandom (FAR) Test Generation to Improve Code Coverage (part), (c)
1998, Software Quality Week, San Francisco, May, 1998.