C2 has a lot of systems offered but I’d be willing to bet that the majority of users are paying subscribers to only one or two dozen of strategies. I thought it would be nice if C2 aggregated the performance of the top 10 (by # of subscribers) strategies and showed an equity/pnl graph similar to the graphs for the individual systems. I know Matthew doesn’t want to disclose which strategies have the most subscribers and in fact that’s not necessary. The aggregated pnl can assume equal investment of some hypothetical account $ into each strategy (or proportional to the # of subscribers).
The motivation for this thought was that even though I am “well diversified” in terms of using multiple C2 strategies, most of them have been recently on a drawdown. Statistically speaking each individual strategy is experiencing a normal drawdown with nothing too shocking. I was wondering, however, if there are unusual times in the market cycle during which the strategies’ performances are more correlated than the low correlation numbers displayed on C2 would suggest. An aggregate graph of the “pnl as experienced by the C2 community as a whole” would have been interesting.
Excellent post and I agree.
"but I’d be willing to bet that the majority of users are paying subscribers to only one or two dozen of strategies"
Mike, I love your idea. But I have a dollar to bet that the average subscriber is signed up to 3 or less sytems. Not 1 or 2 dozen…
I think he means that only 1 or 2 dozen systems here have a significant number of subscribers.
I hope no one person is actually subscribing to more than half dozen or so systems. More than that, and diversification improvement effects are marginal at best.
Gregg, I think Daniel means that only a few dozen systems have the majority of subscriptions, and he’s probably right.
Daniel, I think that the devil is in the detail. For instance, each individual has their own preferences and will subscribe to different systems from the next person. So while an aggregate as you suggest may be interesting, it will probably differ a lot from any actual portfolio.
I don’t know how much of a real occurrence the following is, but Matthew should know:
Another reason why the Community Performance Index in it’s simple form may not be a good indicator is that there will be times when short-term “stars” attract many subscribers and push out more mature systems from the rankings. If these stars survive into maturity then fine. But if they crash (as happens a lot) then the index will show disproportional volatility. A corollary of that would also be that the index constituents would change too much as people bail from one system into another.
Nevertheless, it is an interesting idea. Maybe with some more thought it could be made to work.
Thanks Dean, I guess the final word rests with Matthew if he thinks it can be reasonably implemented.