Going to Zero

29th Sep '16 by DWit199

5 comments 5118 reads

I am trying to do some Monte Carlo simulations of portfolio returns, particularly comparing AIM companies to fully listed. One piece of data I am struggling to find is the probability that in any given time frame a share purchase will become a total loss. Is this information available anywhere? I would be interested in figures for FT100, FT250, FTSmall Cap, AIM100 and AIM All Share.

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About the Author

DWit199

Premium Member

5 comments

PJ0077

29th Sep '16

The FT did a feature on the AIM market suggesting that since inception in 1995, 30% of AIM constituents had fallen by 95% or more.

https://www.ft.com/content/ea2bd724-140c-11e5-abda-00144feabdc0

Clearly the odds of a total 'wipe out' in the FTSE100 are much lower than 30%.. but then again the odds of identifying a ten-bagger are also much lower in the larger cap indicies.

Good luck with collating your data.

andrewdb

29th Sep '16

Have a look here

http://www.londonstockexchange.com/statistics/markets/aim/aim.htm

It does delistings by month in separate spreadsheets - rather tedious.

In a larger sense I would question how much use a 0.002% type percentage is as I am guessing a lot of the recent ones were foreign / resource stocks etc.

jonesj

29th Sep '16

If you have some tedious data crunching to do, one way is to post the job on Upwork.com and outsource the job to someone in Bangladesh (or somewhere low cost) at a fixed price.
The disparity in incomes is such that you can pay very well by local standards without breaking the bank.

DWit199

30th Sep '16

It's probably not worth investing too much time or money in this. It is just an exercise for me to understand Monte Carlo simulation by trying to address a real situation. I suspect a rough estimate would be good enough for my project but I am having difficulty establishing even the order of magnitude of the risk of a total loss affecting a shareholding.

lightningtiger

30th Sep '16

Thanks andrewdb for the link as I had no joy with the first link with pj0077. How do you access this to reveal the information or have you got to sign up for a shed load of FT papers?
Just one page is interesting with most actively traded bargains & value 25 in each list.. Worth putting in a watch list and having a look to investigate further.

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Going to Zero

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About the Author

DWit199

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