Author Topic: Public Records on File.. do you ever invest in the note?  (Read 21853 times)

brycemason

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Re: Public Records on File.. do you ever invest in the note?
« Reply #15 on: December 14, 2012, 10:05:20 PM »
Many of those questions will be answered on my website within a couple weeks. However, I don't really want to give statistics lessons over the net. A few stats courses and you'd have enough knowledge to do what I'm doing.

By the top 10% thing, I mean that I programmed numerous strategies, including filters, and then compared the returns against each other. I used inception to Q2 2008 to train my modeling and tested all strategies on Q3 2008 to Q2 2009 loans. Their outcomes are known at this time.

howler99

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Re: Public Records on File.. do you ever invest in the note?
« Reply #16 on: December 15, 2012, 10:00:19 AM »
Wow, thanks everyone. I wasn't checking this when I purchased loans on FolioFN, and I just noticed that 2 out of 3 of my >31 days notes had public records on file.

brycemason - looking forward to your site too.

rawraw

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Re: Public Records on File.. do you ever invest in the note?
« Reply #17 on: December 15, 2012, 05:09:50 PM »
I personally think that if you've gone through bankruptcy once and you are doing debt consolidation, you are more likely to do it again just because you are more familiar with it.  At any rate, I avoid them generally.  I think 2% of my notes have PRs

viking

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Re: Public Records on File.. do you ever invest in the note?
« Reply #18 on: December 16, 2012, 05:04:28 PM »
Many of those questions will be answered on my website within a couple weeks. However, I don't really want to give statistics lessons over the net. A few stats courses and you'd have enough knowledge to do what I'm doing.

By the top 10% thing, I mean that I programmed numerous strategies, including filters, and then compared the returns against each other. I used inception to Q2 2008 to train my modeling and tested all strategies on Q3 2008 to Q2 2009 loans. Their outcomes are known at this time.
No need to give a statistics lesson (I have some knowledge of statistics). However, it would be great if you could describe how you calculate the probability in a single paragraph? If not, I hope to read it on your website. What will the URL be? Any ETA?

If the outcome is known, could you share the ROI or IRR of your method (and how you determined it)?

brycemason

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Re: Public Records on File.. do you ever invest in the note?
« Reply #19 on: December 17, 2012, 12:32:42 AM »
Sure, the method will be described in general on the site. It's going to be www.p2p-picks.com, and we're just in the last steps of beta development. Maybe a handful of weeks? It's a side project for me, so it takes a long time to do anything.

The site will have extensive sharing of the results of the strategy, but maybe to the dismay of some people, it will not be couched in a percentage per year / APR standard. I wanted to reduce the number of assumptions in describing the performance of the picks, so I took a buy and hold (and not reinvest payments) approach to calculating everything. It's basically a percentage return over three years. If I had wanted to give a %/year like most people, I would have had to do all sorts of assumptions that have to do with reinvesting payments. As I only wanted to demonstrate that my picks had higher performance than other strategies, I didn't need to do an APR return. I just needed an easily understandable and calculable metric.

I look forward to feedback in a few weeks!

rawraw

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Re: Public Records on File.. do you ever invest in the note?
« Reply #20 on: December 17, 2012, 08:29:28 AM »
Sure, the method will be described in general on the site. It's going to be www.p2p-picks.com, and we're just in the last steps of beta development. Maybe a handful of weeks? It's a side project for me, so it takes a long time to do anything.

The site will have extensive sharing of the results of the strategy, but maybe to the dismay of some people, it will not be couched in a percentage per year / APR standard. I wanted to reduce the number of assumptions in describing the performance of the picks, so I took a buy and hold (and not reinvest payments) approach to calculating everything. It's basically a percentage return over three years. If I had wanted to give a %/year like most people, I would have had to do all sorts of assumptions that have to do with reinvesting payments. As I only wanted to demonstrate that my picks had higher performance than other strategies, I didn't need to do an APR return. I just needed an easily understandable and calculable metric.

I look forward to feedback in a few weeks!
Do you consider that you are so focused on statistics that you are missing the fact we don't have much history?  We see time and time again 'black swan' events occur, drastically impacting returns and probabilities.  Every post, you just seem very focused on the statistics (and dismiss others, because you suspect they don't have your training). 

brycemason

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Re: Public Records on File.. do you ever invest in the note?
« Reply #21 on: December 17, 2012, 12:17:49 PM »
Three years of history and 6000+ completed notes during one of the darkest times in 80 years seemed like a fair training ground to me. People seem to think 6000 is some small number on which you can't base predictions. It is one on which I rest my investment choices, which evolve as more data comes in. Do what you like =). Plenty of room for all comers here.


viking

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Re: Public Records on File.. do you ever invest in the note?
« Reply #22 on: December 17, 2012, 03:14:31 PM »
I don't use filters. I calculate the probability of a charge off event for every loan, compare it to the interest rate, and then generate a list of all loans available for investment ordered by expected profit. I have a threshold value where I would be willing to invest in any loan above a certain expected profit. Back testing this strategy suggests returns in the top 10% of any strategy I have come across and has a huge upside compared to a filter strategy: on any given day I could find dozens of loans in which to invest.
I am guessing that Interest Radar is doing something similar with their IR01 Score:
http://www.interestradar.com/scores

rawraw

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Re: Public Records on File.. do you ever invest in the note?
« Reply #23 on: December 21, 2012, 05:53:57 PM »
Three years of history and 6000+ completed notes during one of the darkest times in 80 years seemed like a fair training ground to me. People seem to think 6000 is some small number on which you can't base predictions. It is one on which I rest my investment choices, which evolve as more data comes in. Do what you like =). Plenty of room for all comers here.
I'm not suggesting that it isn't a useful data set.  My investing strategy is based on historic data behaviors as well.  But I don't place 100% faith in the numbers, as things are constantly changing.  And I personally struggle with the darkest times in history bit.  On one hand, yes we all know the economy was in shambles.  But on the other hand, LC benefited because it offered credit to worthy borrowers during a credit freeze.  This seems like a selection bias that wouldn't continue to influence borrowers seeking out LC once credit is 'thawed' out.  I'm curious how the data looks when its all said and done.

brycemason

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Re: Public Records on File.. do you ever invest in the note?
« Reply #24 on: December 22, 2012, 02:44:07 AM »
Let's consider your two propositions:

1) Selection bias in who took out loans in 2008-9. Empirically we have seen principal loss curves improve for more recent vintages (see my guest blog post a few months back), meaning more recent vintages are better. If the best borrowers were selecting into LC in 2009 because they were the only game in town, they sure didn't behave very well. I'll take the more recent vintage performance any day.

2) Things are constantly changing. Some things don't really appear to change very much. I chose variables in my model whose coefficients have remained stable regardless of whatever time period I'm considering. I'd run my models six or seven times, lopping off old quarters each time and many things appeared to have substantially the same relationship to the outcome under study.

Best Wishes!

veggivet

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Re: Public Records on File.. do you ever invest in the note?
« Reply #25 on: December 22, 2012, 10:11:55 AM »
I never do.

rawraw

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Re: Public Records on File.. do you ever invest in the note?
« Reply #26 on: December 22, 2012, 04:46:50 PM »
Let's consider your two propositions:

1) Selection bias in who took out loans in 2008-9. Empirically we have seen principal loss curves improve for more recent vintages (see my guest blog post a few months back), meaning more recent vintages are better. If the best borrowers were selecting into LC in 2009 because they were the only game in town, they sure didn't behave very well. I'll take the more recent vintage performance any day.

2) Things are constantly changing. Some things don't really appear to change very much. I chose variables in my model whose coefficients have remained stable regardless of whatever time period I'm considering. I'd run my models six or seven times, lopping off old quarters each time and many things appeared to have substantially the same relationship to the outcome under study.

Best Wishes!
I can't wait to see your website ^.-

Do you risk adjust your returns and compare them to other asset classes (or even Prosper)?

brycemason

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Re: Public Records on File.. do you ever invest in the note?
« Reply #27 on: December 23, 2012, 03:06:02 AM »
Rawraw,

It's a good idea to compare the standard deviation of the asset class to the returns vs other asset classes, but I haven't made that chart. P2P lending right now is in rarified territory with having low variance and great returns.

Thanks for your interest in the site! I'm looking forward to launching shortly.

Bryce

OrthoInvest

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Re: Public Records on File.. do you ever invest in the note?
« Reply #28 on: December 25, 2012, 09:21:02 PM »
Bryce,

Look forward to the site. Is there an email signup list?

brycemason

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Re: Public Records on File.. do you ever invest in the note?
« Reply #29 on: December 25, 2012, 10:14:33 PM »
Anyone interested can send me an email at brycemason@p2p-picks.com. I'll add them to the distribution/announcement list.