i was looking at the COT's monthly performance in larry's SMR and i got to thinking...
the "smart money" is not just predicting a market move - they ARE the market! i think larry told us they comprise about 70% of the S&P futures action (correct me if i'm wrong). even tho' the performance has been amazing no matter how you slice it, if "the market" says "i'm moving this way" why would it EVER move another? why would we EVER have a down year? then it hit me...

a 'january to decememer' year is random. why not a an april to march year? why a 12 month time frame at all? it's all arbitrary. the point is; if you follow this system long enough you'll make money.

however, most of us DO track time by years so i did a little figuring. the 1st month performance results are available is april 1986. so starting with THAT date & ending in march of the next year (12 months) here are the annual results.

year 19 1.7% -1.2% -1.8% 3.4% -0.5% -4.0% -5.2% -3.9% -3.2% 2.5% -1.9% 1.9% -12.2%
year 18 10.6% 10.2% 2.3% 3.0% -1.8% 1.2% -5.5% -0.7% -5.1% -1.7% 1.2% 7.7% 21.4%
year 17 9.4% 1.8% 14.6% 17.9% out out out -1.1% 12.1% 5.5% 3.4% -4.6% 59.0%
year 16 out 4.6% 5.0% 2.2% 12.8% 24.0% out -3.9% -1.5% 0.4% 4.2% -8.8% 39.0%
year 15 1.3% -1.6% 5.5% 0.9% -8.3% 5.3% 1.4% 16.0% -0.8% -6.9% 18.5% 19.0% 50.3%
year 14 7.6% -5.0% 10.9% 1.7% -1.3% -6.5% 0.1% -0.3% 1.6% 9.9% -7.2% 15.8% 27.3%
year 13 -0.9% -2.5% 8.1% 1.2% -15.4% 6.2% 8.0% 11.8% 1.5% 3.7% 2.6% 10.8% 35.1%
year 12 11.7% 11.7% 12.5% 11.9% 5.3% 4.8% 3.4% 8.7% 12.7% 17.6% -6.9% -5.0% 88.4%
year 11 2.7% 4.6% 0.5% -9.8% 0.3% 10.8% 5.2% 14.7% -4.3% 11.7% 1.2% -8.9% 28.7%
year 10 5.6% 7.3% 4.3% 6.4% -0.1% 8.0% -1.0% 8.2% 3.5% 6.5% 10.0% 3.0% 61.7%
year 9 1.2% 1.2% -2.7% 3.1% 6.7% -6.1% 1.3% -8.2% 1.3% 4.9% 7.2% 5.5% 15.4%
year 8 -5.1% 4.5% 0.2% -1.1% 6.9% -2.0% 3.9% -2.6% 2.0% 6.5% -6.0% -6.0% 1.2%
year 7 5.6% 0.2% -3.5% 7.9% -4.8% 1.8% -0.4% 6.1% 2.0% 1.4% 2.1% 3.7% 22.1%
year 6 0.1% 7.7% -9.6% 9.0% 3.9% -3.8% 2.4% -8.6% 19.2% 3.3% -1.0% 1.7% 24.3%
year 5 -5.4% 11.6% -1.8% -1.0% -12.8% -5.1% -0.7% 6.0% 2.5% 7.6% 13.5% 4.4% 18.8%
year 4 10.0% 7.0% -1.6% 17.7% -3.4% 1.0% -5.0% 3.3% 4.3% -14.6% 0.9% 7.0% 26.6%
year 3 0.9% 0.3% 6.9% -1.1% -7.7% 7.9% 5.2% -3.9% 2.9% 14.2% 4.2% 4.2% 34.0%
year 2 -2.3% 1.2% 9.6% 9.6% 7.0% 5.1% 56.7% -8.0% 10.2% 4.0% 4.2% -3.3% 94.0%
year 1 2.8% 12.5% 2.8% 7.9% 14.2% -13.2% -0.1% 4.3% -5.7% 26.4% 7.4% 5.3% 64.6%

in case you find that hard to read just look at the annual results:

-12.2%
21.4%
59.0%
39.0%
50.3%
27.3%
35.1%
88.4%
28.7%
61.7%
15.4%
1.2%
22.1%
24.3%
18.8%
26.6%
34.0%
94.0%
64.6%

notice there is now only ONE down year - this most recent one. this seems to be a more logical performance to me.

i know that statistics are like street thugs, torture them enough and they'll say ANYthing. but i thought this was an interesting exercise.

-ja

p.s. larry, according to my calculations, performance for 1993 (january to december) should be +13.9, you have it as +16.1.

if i'm right the performaces above are right - if larry's is right the performance for year 7 would be even better.

You're right, Joe. 13.9% is correct. It's been changed.

Larry

Joearron wrote: the point is; if you follow this system long enough you'll make money.

I'm investing (betting?) on it. It appears that I picked the worst time in COT hostory to start following it. (Some funds in Sep03 and some in Mar04.)

I track the COT by 1,2,3,4,5, and 10 year returns from the last reporting Friday. (See link: http://www.network54.com/Forum/thread?forumid=251727&messageid=1110147688&lp=1119228191) I'm waiting for the day I finally realize those 5 and 10 year returns.

Dave

Just thinking - looking at it this new way, is the COT doing something it's never done before? I think I was more comforted knowing there had been down years. Of course this isn't about comfort So what could be different? Regulatory environment? Period of stagflation where the market doesn't move enough to provide good returns? Any others?
h

Howard,

All you have to do is look at the performance of any hedge fund manager, mutual fund manager, “guru” that has published results since 1986, etc. Try to find one that hasn’t had sustained periods of what some would consider significant drawdowns. That would be a good exercise for any of us. Just try to find one. You won’t be able to do it.

So what’s different? Absolutely nothing.

Larry