Max-Sharpe Portfolio for November

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

The November allocation is 100% EFA (Europe), both for the original strategy and my version. Actually, I am going to be making some changes to my version of the strategy – most likely I will take a step back and get rid of USO. In terms of performance, that’s likely irrelevant short-term (the damage has been done in other words), because of USO’s abysmal performance while it was selected (the first selection is based on momentum, so a bad loser like USO is unlikely to cut it in any time soon).

My main motif for adding USO, was diversification. The overall historic performance also improved slightly in my back-testing. So I added it. However, in my most recent analysis, I didn’t like the allocations (percentage-wise) even in times when USO was traded (historically) and performed well, because it heightened the exposure to commodities significantly). That’s something I didn’t research and didn’t notice in my original efforts. Mistake made, lesson learned (steep fees paid as well), time to move on.

I’d like to point out another good reason to use strategies with infrequent reshuffling – one can go on vacation without having to move out of the market as long as he is to be back before the next reshuffling. Time to do exactly that!

Leave a Reply