Studies of Life

Learning by doing.

Strategy Test 2015 – 3: February 28

28 February 2015 by Jim

It’s been two months since I started testing a few different portfolio strategies as explained in this post. Here’s the second update.

Investment Strategy Test - Jan to Feb 2015

February has been a slight slowdown compared to the stellar performance in January. It has still been a mostly positive month but with a lot of volatility.

Here are the results for the Sharpe ratio and total return for this month:

Total Return Feb 2015

Sharpe Feb 2015

In terms of total return, the biggest winners so far are: 60/40, Trending Value, Perm.P. , X (my own portfolio). The main reason is of course the bull market in stocks.

In terms of Sharpe ratio, however, X (my portfolio) has beaten all other strategies since the start of the year, which is not surprising since it’s a combination of TV and bonds / gold, which have all had a great run so far. The performance chart at the top shows clearly that the grey line is the smoothest of all. It’s almost a straight line.


Not many conclusions to make here. Stocks have done well, so stock-heavy strategies have obviously done very well, while others have not.

Two months still are little in terms of sample size anyway.

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