Here, we compare the performance of the various long strategies that we've tested.  The idea is simply to get some idea as to which of our various strategies is superior.

The table below shows five different strategies that we've tested, the inception date of the test, the current portfolio value, and the "average" annual gain of that portfolio.  The "average" is gotten by raising the proportional increase in portfolio value to the inverse power of the number of years since inception.  If this is confusing, note that it's more accurate to say that the average gain of a portfolio that has gained 100% over five years is 15% (1.15*1.15*1.15*1.15*1.15 = 2, a doubling of value), as opposed to 20% (100/5).

Then, we show the same version of "average" annual gain in the Russell 3000 since the portfolio's inception.  In the end, we're interested in knowing how much better our portfolios perform than a general index like the Russell 3000.  Looking at the table, you can see the first strategy we've listed has outperformed the Russell 3000 by about 22%/year since inception.

Despite our attempts to find an accurate measure of average annual gain in the portfolios, it could be argued that seasonality might be more pronounced in some time frames than others, making comparison of portfolios with different inceptions problematic.  So we've listed the gains gotten from November 1999 to the current time as well.

Without too much discussion, we're drawn to the first strategy, which has averaged a 32% gain since its 1994 inception and 45% since Nov 99.  Since November 1999, the second strategy has averaged 51%, but we note that this strategy performed quite weakly prior to Nov 99. 

All the portfolios began with $1000.

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