This change to my system has made a big difference

by John French|Published July 9, 2012

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.

AUTHOR

John French

I have worked in the IT industry for more than 20 years. Prior to that, I worked in Corporate Finance. In both career paths I learned the value of data consistency, regression testing, establishing rules and procedures, and change management. I believe that these attributes are pivotal to managing financial models of any type, be they predictive or analytical in nature.

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