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Others have observed that an element of luck affects screen performance depending on start date. Starting an annual screen one week earlier or later can sometimes make a huge difference in the one-year performance, and thus affect long term performance. Some of us will suffer the bad luck of hitting a low performance start date followed by a low performance rebalance date. Double bad luck, and so on. Thus, even assuming future screen performance consistent with the backtested profile, an individual investor may never enjoy the fruit of his or her "good" decision to invest in any screen. Better luck next life.

Investing for the long term, and using several screens, I hope I am not the guy who flipped the coin fifty times and got tails forty-eight times. Neither do I need to be the one who came up predominantly heads. I would like to place my bets in a way that tends toward average screen results. TMFElan briefly addressed this point at MICon 2000 and showed a recent example of these inconsistent results for several screens. (http://www.e-Possibilities.com/TMF/handouts/Basics.html)

Despite taking notes during David's statistics lecture I am seriously numbers challenged. It seems obvious that I can tend toward average screen results, at the expense of additional trading and spread costs, by dividing my screen dollars and starting multiple instances of the same screen on different weeks. I can figure out how much this would cost. Quantitatively, I have no clue how much it would probably help.

Has anyone analyzed this issue, or even the importance of this issue? I assume this is not as serious an issue with monthly screens because of the larger number of start dates. BWDIK?

BlissAK
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