How Are MFI Tracking Portfolios Doing Through Selloff?

How Are MFI Tracking Portfolios Doing Through Selloff?

Volatility seems to be making a comeback. Stocks bouncing up and down in a bit of a tug of war.  I guess my expectations are more likely down than up for next two weeks.  That expectation should be worth nothing as my ability to gauge markets could be beaten by a chimp tossing a coin.

I thought it might be interesting (in a scientific way) to see how my 12 open MFI Tracking portfolios are doing since we last looked in on them near the end of September.  As a reminder, here is how they looked:

10/27/2017	20.8%	14.6%	1
11/24/2017	16.1%	13.3%	1
12/29/2017	14.9%	10.3%	1
1/26/2018	2.9%	3.1%	0
2/23/2018	6.5%	7.4%	0
3/29/2018	8.5%	11.1%	0
4/27/2018	4.4%	9.9%	0
5/25/2018	4.1%	7.3%	0
6/29/2018	0.7%	7.1%	0
7/27/2018	2.6%	3.6%	0
8/31/2018	-1.2%	0.2%	0

2nd column is their performance and third column is benchmark performance.  If we assume the 9/28 portfolio is at 0 last month, the 12 open portfolios were up an average of 6.7% vs 7.3% for benchmark.  So trailing by 60 basis points.  Now, let us roll forward to today.

Hmm, a bit harder than I expected.  TRNC has changed name to TPCO.  SYNT has disappeared, I guess they were bought.

10/27/2017	15.8%	7.8%	1
11/24/2017	12.1%	6.6%	1
12/29/2017	11.6%	3.7%	1
1/26/2018	-0.5%	-3.0%	1
2/23/2018	1.4%	1.1%	1
3/29/2018	3.5%	4.5%	0
4/27/2018	-0.2%	3.4%	0
5/25/2018	-0.1%	0.9%	0
6/29/2018	-4.4%	0.7%	0
7/27/2018	-2.2%	-2.6%	1
8/31/2018	-5.6%	-5.8%	1
9/28/2018	-5.2%	-5.9%	1

 

Now the 12 open are up 2.2% (so a 4.5 point decline). But the 12 benchmarks are up just 1.0% ( a 6.3 point decline).  So we have "gained" 1.8 points since we last looked 9/28.