Max-Sharpe Portfolio for October

The original strategy implementation was posted on the Systematic Investor Blog.

In October both strategies are moving heavily into EFA (Europe). The original strategy by 100%, while my modified version still keeps about 20% in Oil (80% in Europe, 20% in oil).

My modified strategy took a severe blow in September. It went 100% in USO (oil) which is not part of the original strategy. Oil suffered a 4% loss during that month, which was a pretty bad news on its own. But to make things worst, the original Max-Sharpe strategy gained almost 10% in September! How? By going 100% in EWJ. Markets are tough, what can I say?

Am I doing anything about it? No! I have to admit that I did review my back-testing and the situation back a few months ago when I started using this strategy in practice. My conclusion was that my reasoning to choose the parameters I use was completely sound. In other words, being right and loosing money is part of life.

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