V. 22:8 (86-89): Enhanced Returns With Mutual Funds by Norman J. Brown

V. 22:8 (86-89): Enhanced Returns With Mutual Funds by Norman J. Brown
Item# \V22\C08\177BRWN.PDF
Availability: In Stock

Product Description

Enhanced Returns With Mutual Funds by Norman J. Brown

Is buy and hold the best strategy when it comes to mutual funds? Here’s a mutual fund switching technique that uses multiple-fund ranking to improve returns.

In my earlier articles, I showed it was possible to switch a persistent fund using a technique I called one rank, or OR. The technique resulted in a significant improvement in annual return (Ann) and a reduction in maximum drawdown (Mdd). The term one rank implies ranking a single mutual fund daily, buying on an up day (return of fund positive), and selling any day the fund is down (return negative). Further enhancement of Ann is made possible by adding a second fund, a beta = -1.0 version of the basic fund. This approach is equivalent to selling short during the OR “out of market period” (when normally invested in a money market). A simple equation closely approximated the resulting ORLS (OR using both a long and short fund switching approach). The formula for the net up days per year for ORLS is:

ORLS (net days up) = N – 4S (Equation 1)

where N is 252 market days per year and S is the number of buys and sells per year. This number of net days then leads to the ORLS Ann, given by:

GORLS = [1 + (%Avg Pos Rtn) / 100 ][N-4S] (2)

*Note: $2.95-$5.95 Articles are in PDF format only. No hard copy of the article(s) will be delivered. During checkout, click the "Download Now" button to immediately receive your article(s) purchase. STOCKS & COMMODITIES magazine is delivered via mail. After paying for your subscription at store.traders.com users can view the S&C Digital Edition in the subscriber's section on Traders.com.

Take Control of Your Trading.
Professional Traders' Starter Kit
All these items shown below only $299.99!
  • 5-year subscription to Technical Analysis of STOCKS & COMMODITIES, The Traders' magazine. (Shipping outside the US is extra. Washington state addresses require sales tax based on your locale.)
  • 5 year access to S&C Archive
  • 5 year access to S&C Digital Edition
  • 5-year subscription to Traders.com Advantage.
  • 5-year subscription to Working Money.
  • Free book selection.
  • Click Here to Order