Author: John French
Covestor model: Mutual Fund Killer
My Mutual Fund Killer model has been live on Covestor for some 18 months.
In that time I have made one significant change to the system, but have not done ongoing tinkering with parameters at all. The move was to remove the long-term element after its slump in July of last year. I had originally believed that diversifying across time would add something to the system, but upon detailed investigation of both the back-test and live trading, I found it actually detracted from performance from all perspectives.
Since I made that change on August 15, 2011 the model has gained 24.5% (through July 5, 2012), which reflects particularly strong performance in late November 2011. For the past 12 month period the model is up 0.2%, while the S&P 500 has been up 2.1%.
Since August 2011, MFK has typically been only 31% invested.
