The Fidelity Select Funds Rotational strategy was developed over 2 years ago. I have been trading it since February of 2012. Here is a quick update of 2012 performance.
All tests are from 1.3.2012 to 5.31.2012. There are no commissions or slippage incurred from trading Fidelity Select Funds, so none have been included. I did not include any commissions or slippage in the SPY buy-n-hold results. All trades for Version 1 are verifiable in real-time.
Version 1, which goes to cash when $SPX closes beneath the 50 day average (assuming the funds 30 day minimum hold time has been satisfied) has benefited from liquidating early. It closed all trades on 5.14.2012 and has been in cash since.
- Net Profit = 3.85%
- All Trades = 8
- Avg. % Profit / Loss = 1.57%
- Winning % = 37.50
- Avg. Winner Profit = 9.75%
- Avg. Loser Profit = -3.34%
- Max System Drawdown = -7.98%
Version 2, which I am still evaluating and not yet trading live, goes to 50% cash when $SPX closes beneath the 50 day average and 100% cash when $SPX closes beneath the 100 day average. It has not done very well as it is still holding positions. The upside to this is it will catch any move back up earlier than Version 1.
- Net Profit = -7.29%
- All Trades = 15
- Avg. % Profit / Loss = -2.19%
- Winning % = 26.67%
- Avg. Winner Profit =2.29%
- Avg. Loser Profit = -3.81%
- Max System Drawdown = -10.04%
SPY Buy-n-Hold
- Net Profit = 3.10%
- Max Drawdown = -8.49%
Version 1 Equity Curve:
The current top three ranked Fidelity Select Funds, according to Version 1, are as follows:
- FSRPX (Retailing)
- FSUTX (Utilities)
- FIUIX (Telecom and Utilities)
Version 2 top ranked funds:
- FSVLX (Consumer Finance)
- FSRBX (Banking)
- FSRPX (Retailing)
Very helpful. Thanks for doing the work, Wood.