Also, the link to the study you sent about the 4% rule is applied to the SP500. The original 4% model was used on the Value Line Arithmetic Index. Zweig writes that if you want more trades use a 3% model and if you want fewer trades use a 5% or 6% model.
He also writes that the VL is more volatile than the SP and other major markets. Because of the higher volatility it works better. The VL will rise more in bull markets and will fall further in bear markets.
Quote:
Originally Posted by AltonKelsey
I certainly know who Marty Zweig was , but I'm not a big systems guy , so never got interested in the workings of his 4% method.
Got up to some speed on it via the miracle of the internet . This paper is quite interesting and has an actual back test thru 2015 or so , which seems to confirms my theory (underperform since the glory days) . No idea how its done since 2015 (murphy's law , probably great, just to make me look bad)
The_four_percent_rule_applied.pdf
I was looking for a recent performance study, but strangely, quite hard to come by. Do you have the numbers ?
I do respect Zweigs notion that you don't stand there like a patsy when it hits the fan.
PS Your paper with Ziemba is nicely done. |
