No. of Recommendations: 0
I wasn't asking for a p*ssing contest. This is not a mano-a-mano contest.
I'm not signing up for a p*ssing contest, and "mano a mano" sounds violent... no interest.

(I suspect that mano-a-mano, most of the long-timers on the Mechanical Investing board would skunk you.) There's no gotcha's involved.
Who? Would they have the stones to step up to an apples-to-apples performance comparison?

Comparing apples to organutans is rather pointless. I have great systems to outperform the S&P if I am free to take drawdowns... why bother, that's not a challenge.

It's an investigation to see what the data is. Approach it as, "We have 2 proposed strategies, let's see how they compare when applied to historical data." Final value, of course, isn't everything. Things like volatility and drawdown need to be considered.
If there is no constraint on drawdowns, there is no point. If you want to compare a rules-based trading system, define your maximum drawdown and we can go from there.

If you want to compete against an IUL, the definition is zero.

I'm interested in applying the IUL rules & costs (whatever they accurately are) to the actual historical S&P500.
Here's a simple crediting method rule set;
0 floor each anniversary,
12% cap each anniversary,
Reset each anniversary,
1% total annual cost burden over 20 years, (70 bips by 30 years,)

Really, my "challenge" was more along the lines of: you tell me what the periodic costs, fees, and bonuses, floor/cap rules are which would emulate the way an IUL would work. We already know that IULs don't credit you with dividends, just with the raw price change in the index.
You got it, knock yourself out.

For example, I read something last night about some IULs having a "no loss over a 5-year period" rather than "no loss in any 12-month anniversary period". That's too complex for me to model -- and anyway I bet that it's to the detriment of the IUL holder -- there's no was the insurance company would introduce that sort of complexity unless it benefitted them.
You're too cynical... what it actually does is skew the growth distribition towards different market types. Some methods perform better in extended bull market rallies, some better in channeling markets, some better in persistent bears. None lose money, and in most cases you can adjust your declared method (or even allocate among various) at your own discretion.

You are correct though... the modeling requires pretty strong Excel skills.

Actually, the thing that got me interested in working on the data was the bit about gains being capped at 12% (or whatever). The implication is that this doesn't happen very much, so it doesn't cost you very much (cost as in "foregone gains").
That's an interesting assumption... but not accurate in my observation (that this is the common implication.)

35% of the rolling 12-month periods have a return more than 12%.
13% of the periods are more than 20%.
You hit the cap a lot, and you miss out on a lot of VERY LARGE gains.

Ahhh... but the vast majority of the grandslam rallies are *RECOVERY* rallies, *NOT* bull run extensions.

Losing out on a 50% gain means nothing when you didn't incur the previous 50% loss (and the IUL participates in the 1st 12% gain from the previous non-loss 0% position, so it can still be the overwhelming winner, even when it "lost" out on the rally.)

Play on... let's see what you come up with.
Dave Donhoff
Leverage Planner
Print the post  


The Retirement Investing Board
This is the board for all discussions related to Investing for and during retirement. To keep the board relevant and Foolish to everyone, please avoid making any posts pertaining to political partisanship. Fool on and Retire on!
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.