I think that's way more useful, because it makes no assumption on price (the 0% line). Is that still sequential change?
Don't understand the question regarding sequential change?
How are you calculating return? The problem is FICO drop loans have already paid interest and principal in most cases. Not sure if you thought through how to address this
Working with an extract of the latest pmthistall.csv file one monthly payment at a time. Five loans were removed from the extract as they appeared not fully matured (just data cleaning and the remaining loan total was 2337).
Buy and hold total $ received is the sum of the RECEIVED_AMT column plus sum of PCO_RECOVERY column minus sum of PCO_COLLECTION_FEE column. This total is a constant dollar value regardless of the numbers of loans sold and held.
For loans not sold the $ received is computed on a per loan basis as described above. Only NeverLate loans may be sold. For loans sold the proceeds is the sales price (remaining principal balance times 1+Mkup/Disc%) - 1% Sales Fee. There is no accrued interest and the sale is made the same month the Fico change trigger is observed.
Then I just add up the total for loans not sold and the total for loans sold to get total proceeds. Finally the percentage returns versus buy and hold is the sum of the ((proceeds from loans held and proceeds from loans sold) divided by the buy and hold total $ received) - 1.
As a sanity check setting the Fico change trigger to -500 results in no loans sold, $27,615,782.78 total proceeds from loans held which exactly matches the buy and hold total.
On the other hand setting the Fico change trigger to +500 results in 2284 loans sold AND 53 held. Who are these 53?Why did my software hold rather than sell.
Well 7 were rollers and made no payments, 16 were semi-rollers making only one payment, and 30 paid in full the first month. Since ya gotta get past month one to be Never Late these loans didn't make it. For the record if all 2284 were sold at a 5% markup it still falls behind buy and hold by 8.71%.
Meanwhile I feel somewhat out here on a limb. The results are not what I would have expected, but they are what they are.
It would not bother me in the least for somebody out there to point out the errors of my ways. Would not be a first.