Author: JLC

Subject: Re: Sjuggerud Model v3.0

Date: 6/26/2006

Recommendations: 5

Here are some other options. I redid v3.0 to be more like v2.0, i.e., always have some money in equities, so the allocations % changed to 20, 40, 60, 80, and 100. The results... CAGR GSD SP500 6.87 18.06 Sj v3.0 8.15 15.58 Not surprising, GSD up compared to previous version and CAGR not really improved. Still better than plain SP500 but still not over Sj v2.0. Next, I tried being all in cash when inverted yield curve reguardless of the remaining parameters. Again, held for either the quarter, or plus extra months. The results... CAGR GSD SP500 6.87 15.06 Sj v2.0 8.42 13.14 Sj v3.1 8.07 10.92 Sj v3.1+6m 8.41 9.90 Sj v3.1+12m 7.71 9.38 Sj v3.1+18m 7.73 8.57 Notice, holding in cash for 6 months after inverted yield matched the return of v2.0 but dropped the GSD by 25%. That seems significant to me. Next I`m going to try combining the Arezi Ratio with v3.1 like I did with v2.0. Any comments? JLC