The system went long 3 funds on 2.1.2012. I’ve been watching how the Fidelity account tracks the closing price for the funds each evening vs. the data provided by Yahoo. So far, so good. Everything has matched up perfectly. This is crucial since Yahoo data was used to backtest this system.
The current portfolio is FSHOX (Construction and Housing), FBIOX (Biotechnology), and FSRFX (Transport). The portfolio gain totals 1.42% while SPY has a gain of 2.70% over the same time period.
The earliest date for possible rotation out of the three current funds into new ones is March 3rd.
As of today’s close, the top three Fidelity Sector funds are as follows:
- FBIOX (Biotechnology)
- FSHOX (Construction and Housing)
- FSCGX (Industrial Equipment)
For what it’s worth: I just came across a reference to a paper that shows relative strength strategies (for stocks, not funds, and under certain conditions) lose a lot in January, but make up for it in the remaining months. Unfortunately, that’s all there is; no footnote, etc.
Wood, did you see any calendar effects like this when you did your studies?
Bozo, did not notice, but then again, I did not look. I’ve started paying attention now. If I see anything, I’ll let you know. Thanks for bringing it to my attention!