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Portfolio Performance

TRE Portfolio Performance

In looking at a portfolio performance, usually what one is interested in is the cumulative return (capital gains and dividends reinvested). An extensive back-testing of risk-cumulative return has been carried out by Sherman Page. For details see backtesting_tre. Just a few examples of these studies are given below. 

Figure 1 compares the cumulative portfolio returns over 12 years for various risk (TRE) values, with the returns of SPY (an ETF of SP500 stocks). 























Note that high risk values yield very high returns. But they are also volatile. Our research shows that during downturns the high risk portfolios can drop sometimes even more than SPY, but during upturns they are so high that on the average over many years the cumulative returns outperform the SPY. 


In Figure 2 we will compare the performance of our portfolios with the performance of portfolios constructed using beta as the risk measure.  






















Figure 2. The TRE out performs both SPY and Beta portfolio. Note that Beta value is high risk. TRE is medium-high risk.  Portfolios consist of 16 stocks around the risk values shown.


In the above examples shown, we used stocks in SPY to construct portfolios and compared their performance with SPY. 

We now compare the performance of our TRE portfolios with that of  ONEQ.  ONEQ is the Fidelity Nasdaq ETF consisting of 1000 stocks from NASDAQ. 





















Figure 3. Comparison TRE based Portfolio performance with that of ONEQ. The portfolio consists of 15 stocks ichosen from QNEQ in the range of risk shown.


Please note that the performance data shown in this page (including the links) represent past performance, which is not a guarantee of future results. Investment returns and principal value will fluctuate so that investors' shares, when sold may be worth more or less than their original cost. Current performance may be lower or higher than the performance data cited.

All investing is subject to risk, including the possible loss of money you invest.




The tools provided by EntropicDynamics are research tools to help self-directed investors evaluate securities. Information supplied is for information purposes only and should not be considered investment advice or an offer of guidance. Our research and tests are carried out on the past data, which is not a guarantee of future results. EntropicDynamics is not liable in any way for any financial loss that might occur in using the information and tools provided in this web site to future data. 











 Figure 1.   Comparison of cumulative returns of SPY with those of portfolios constructed using TRE as the risk. The portfolio consists of 16 stocks around the risk value shown. 


Portfolio .87

Portfolio   1.28

Portfolio 2.15


Portfolio   1.4

Beta   1.9


Portfolio  risk 2.3-3.1 

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