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Strategies & Market Trends : A.I.M Users Group Bulletin Board
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To: Jack Jagernauth who wrote (9110)10/30/1999 8:47:00 PM
From: Jack Jagernauth  Read Replies (1) of 18928
 
Hi Everyone,

For anyone interested in Asian funds, I just ran a simulation using PCA with data for Scudder Pacific Fund (their Canadian fund).

I am posting the findings here for anyone who might be interested in Asian funds.

For the past three years, including the Asian crisis, AIM works quite well with the following parameters:

60% invested
40% cash reserve
Amount to trade: 5% of invested amount
Buy Safe set at 5%
Sell Safe set at 10%

There were 7 buys and 12 sells, and the account would be up 46% on the total amount (and about 75%, based on Capital at risk). Reducing the cash reserve improves the return about 5%.

I feel that the above is what one might expect going forward, maybe even better. The results would have been improved using Vealies; however, the simulation software does not permit Vealies at this time.

Regards, Jack
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