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Update On TERMD Performances YTD 2021, End Of February.

Feb. 28, 2021 2:42 PM ET
Peter F. Way, CFA profile picture
Peter F. Way, CFA's Blog
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Positions indicated by Market-Makers’ Intelligences lists and closed out by either reaching a forecast sell-target price or a position-holding time limit have been as follows:

   Number      Due To       % Price Change   Days Held   bp/day   CAGR

662  100%   All                                                             27.7     174%

586   88%   Targets, wins   +14.4%               43.4          38.2

 78   12%    Time-outs       - 16.3%                91             -9.5

The proportion of winning positions (88%) at 7 out of each 8 is significantly above the win-loss balance history longer-term of 6 out of each 8 (75%), but not unprecedented.

What should not be overlooked in the CAGR of 174% as calculated above is the average days held of winners at less than half of the holding time granted to the losers. In the same length time period there should be a reinvestment opportunity for another 586 positions. They might turn out to be divided as winners to losers either of 7 out of 8, 6 out of 8, or even 5 out of 8. But in any case would tend to add to the +174% CAGR for the 91-day period.

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