Testing with reduced universe

A smaller fund universe may simplify analysis and allow insight into the driver of returns. Here is the equity curve from the top Fidelity fund by momentum from this list: FATEX, FBTTX, FDXAX, FEIRX, FLSTX, OPPAX.  The holdings of these funds are summarized below and equivalent ETFs will be identified in a later post if available (expense ratios are >1%, although average hold time is only 2-3 months).

Fund Beta Top holdings
FATEX 1.09 Tech, aapl, goog, ebay etc.
FBTTX 0.87 Biotech, gild, amgn, celg etc.
FDXAX 1.15 Mid-cap, hfc, ksu, ame
FEIRX 1.06 Equity income, jpm, cvx, cmcsa
FLSTX 1.42 Leveraged co. stocks,lyb, sci, aes
OPPAX 0.94 erixf, ebay, sap, sie, ubs

blog figs

Annual return 30% (including periods in cash – green sections of equity curve)

Max drawdown 15%, sharpe 1.5 (exposure 50%).

The green sections in the equity curve are cash (no trade) therefore several large rallies were missed in these results: 2006, 2010 and 2011.


One thought on “Testing with reduced universe

  1. Pingback: Super high Sharpe ratio strategy | RRSP Strategy

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