One of the curses (although Greenblatt might call it a benefit) of Magic Formula Investing is the streakiness of the results. It will work really well for a stretch, then really poorly for a stretch. It is not random - not one month good, one month bad. It is two years bad, 18 months good.
If you knew when you were getting to the end of a cycle (either good or bad), that would be very beneficial to know. I have tried to get there, but with no success. Instead, I have taken steps to mitigate the amplitudes, through approaches like my MFI Formula tranches.
We have been in the midst of a good streak. But I am starting to see signs that is turning. Look at the table below of all my monthly tracking portfolios. The column to focus on is the last one, with the 1s and 0s. A zero means MFI lost (or is losing) and a 1 is a win (or winning). The streakiness is easy to see here. Note that we have had a decent strecth of 1s. But most recent three tranches are 0s.
| Date | MFI | R3K | Lead |
| 1/6/2006 | 16.0% | 10.9% | 1 |
| 2/17/2006 | 21.2% | 14.6% | 1 |
| 3/29/2006 | 13.0% | 9.6% | 1 |
| 4/7/2006 | 10.3% | 12.1% | 0 |
| 5/12/2006 | 20.4% | 18.6% | 1 |
| 5/31/2006 | 29.2% | 23.3% | 1 |
| 6/30/2006 | 22.4% | 20.0% | 1 |
| 7/31/2006 | 19.7% | 17.3% | 1 |
| 8/31/2006 | 13.0% | 13.3% | 0 |
| 9/28/2006 | 12.7% | 14.6% | 0 |
| 10/27/2006 | 10.3% | 12.0% | 0 |
| 11/29/2006 | -0.3% | 4.8% | 0 |
| 12/28/2006 | -6.9% | 3.4% | 0 |
| 1/26/2007 | -10.2% | -6.6% | 0 |
| 2/27/2007 | -3.7% | -1.0% | 0 |
| 3/26/2007 | -9.8% | -5.5% | 0 |
| 4/27/2007 | -10.9% | -5.0% | 0 |
| 5/29/2007 | -11.5% | -6.3% | 0 |
| 7/3/2007 | -30.0% | -15.6% | 0 |
| 7/30/2007 | -19.9% | -11.5% | 0 |
| 8/30/2007 | -12.5% | -8.7% | 0 |
| 9/27/2007 | -19.0% | -18.2% | 0 |
| 11/2/2007 | -40.4% | -34.3% | 0 |
| 11/28/2007 | -40.1% | -38.3% | 0 |
| 12/28/2007 | -36.3% | -40.0% | 1 |
| 1/25/2008 | -36.4% | -35.9% | 0 |
| 2/26/2008 | -51.7% | -41.5% | 0 |
| 3/24/2008 | -40.9% | -36.8% | 0 |
| 4/25/2008 | -25.6% | -31.0% | 1 |
| 5/28/2008 | -22.2% | -33.6% | 1 |
| 7/2/2008 | -11.7% | -25.3% | 1 |
| 7/29/2008 | -10.5% | -20.9% | 1 |
| 8/29/2008 | -13.8% | -17.9% | 1 |
| 9/26/2008 | -4.3% | -10.0% | 1 |
| 10/31/2008 | 18.7% | 13.9% | 1 |
| 11/26/2008 | 50.9% | 27.7% | 1 |
| 12/26/2008 | 48.9% | 32.3% | 1 |
| 1/23/2009 | 59.3% | 36.4% | 1 |
| 2/27/2009 | 92.8% | 55.6% | 1 |
| 3/27/2009 | 85.8% | 48.1% | 1 |
| 4/24/2009 | 69.7% | 45.8% | 1 |
| 5/29/2009 | 31.8% | 22.8% | 1 |
| 6/29/2009 | 21.3% | 24.0% | 0 |
| 7/29/2009 | 19.5% | 15.9% | 1 |
| 8/28/2009 | 7.4% | 8.8% | 0 |
| 9/25/2009 | 12.6% | 12.4% | 1 |
| 10/30/2009 | 22.7% | 18.3% | 1 |
| 11/27/2009 | 24.3% | 13.6% | 1 |
| 12/31/2009 | 23.7% | 18.1% | 1 |
| 1/22/2010 | 19.0% | 20.6% | 0 |
| 2/26/2010 | 18.6% | 23.6% | 0 |
| 3/25/2010 | 10.0% | 15.4% | 0 |
| 4/23/2010 | 7.1% | 11.4% | 0 |
| 5/28/2010 | 19.3% | 25.4% | 0 |
| 6/29/2010 | 16.7% | 25.7% | 0 |
| 7/29/2010 | 5.4% | 20.1% | 0 |
| 9/2/2010 | 7.3% | 10.1% | 0 |
| 9/24/2010 | -4.3% | 0.3% | 0 |
| 10/29/2010 | -2.9% | 10.4% | 0 |
| 11/26/2010 | -8.5% | 1.4% | 0 |
| 1/3/2011 | -11.4% | 0.1% | 0 |
| 1/28/2011 | -7.6% | 4.9% | 0 |
| 2/25/2011 | -5.5% | 5.0% | 0 |
| 3/24/2011 | -4.4% | 7.4% | 0 |
| 4/21/2011 | -16.0% | 3.2% | 0 |
| 5/27/2011 | -12.0% | -0.4% | 0 |
| 6/24/2011 | -9.5% | 5.0% | 0 |
| 7/29/2011 | -4.3% | 8.1% | 0 |
| 8/26/2011 | 12.0% | 21.6% | 0 |
| 9/30/2011 | 23.5% | 29.6% | 0 |
| 10/28/2011 | 0.4% | 11.5% | 0 |
| 11/25/2011 | 13.9% | 24.0% | 0 |
| 12/29/2011 | 9.9% | 15.9% | 0 |
| 1/27/2012 | 7.4% | 16.6% | 0 |
| 2/24/2012 | 7.8% | 13.3% | 0 |
| 3/23/2012 | 9.1% | 15.2% | 0 |
| 4/27/2012 | 10.5% | 15.3% | 0 |
| 5/25/2012 | 26.5% | 27.5% | 0 |
| 6/22/2012 | 26.1% | 24.6% | 1 |
| 7/27/2012 | 30.4% | 25.7% | 1 |
| 8/24/2012 | 26.0% | 19.8% | 1 |
| 9/28/2012 | 39.3% | 22.1% | 1 |
| 10/26/2012 | 48.3% | 28.9% | 1 |
| 11/23/2012 | 45.7% | 32.1% | 1 |
| 12/31/2012 | 52.3% | 33.0% | 1 |
| 1/25/2013 | 39.5% | 22.0% | 1 |
| 2/22/2013 | 46.5% | 26.4% | 1 |
| 3/28/2013 | 40.1% | 21.2% | 1 |
| 4/26/2013 | 35.0% | 20.5% | 1 |
| 5/24/2013 | 20.4% | 19.2% | 1 |
| 6/28/2013 | 26.9% | 24.1% | 1 |
| 7/29/2013 | 17.8% | 19.0% | 0 |
| 8/30/2013 | 17.5% | 24.6% | 0 |
| 9/27/2013 | 12.9% | 17.7% | 0 |
| 10/25/2013 | 11.8% | 15.4% | 0 |
| 11/29/2013 | 12.3% | 15.6% | 0 |
| 12/31/2013 | 12.7% | 11.9% | 1 |
| 1/31/2014 | 14.2% | 13.0% | 1 |
| 2/28/2014 | 15.4% | 13.9% | 1 |
| 3/28/2014 | 6.1% | 12.3% | 0 |
| 4/25/2014 | 8.6% | 15.8% | 0 |
| 5/30/2014 | 5.9% | 11.7% | 0 |
| 6/27/2014 | 2.5% | 9.2% | 0 |
| 7/25/2014 | 3.3% | 8.7% | 0 |
| 8/29/2014 | -2.2% | 1.0% | 0 |
| 9/26/2014 | -0.6% | -0.9% | 1 |
| 10/31/2014 | 4.3% | 4.4% | 0 |
| 11/28/2014 | -2.9% | 2.9% | 0 |
| 12/31/2014 | -9.3% | 0.3% | 0 |
| 1/30/2015 | -12.4% | -2.8% | 0 |
| 2/27/2015 | -19.0% | -7.3% | 0 |
| 3/27/2015 | -17.1% | -1.9% | 0 |
| 4/24/2015 | -15.4% | -0.8% | 0 |
| 5/29/2015 | -14.1% | 0.1% | 0 |
| 6/26/2015 | -8.7% | 0.4% | 0 |
| 7/30/2015 | 3.96% | 4.02% | 0 |
| 8/28/2015 | 5.6% | 10.2% | 0 |
| 9/25/2015 | 6.5% | 13.8% | 0 |
| 10/30/2015 | 2.0% | 4.0% | 0 |
| 11/27/2015 | 8.9% | 8.4% | 1 |
| 12/31/2015 | 13.7% | 12.6% | 1 |
| 1/29/2016 | 23.2% | 22.4% | 1 |
| 2/26/2016 | 30.1% | 24.0% | 1 |
| 3/24/2016 | 28.0% | 18.4% | 1 |
| 4/22/2016 | 15.2% | 14.5% | 1 |
| 5/27/2016 | 19.3% | 14.0% | 1 |
| 6/30/2016 | 18.6% | 13.7% | 1 |
| 7/29/2016 | 13.6% | 9.4% | 1 |
| 8/26/2016 | 13.6% | 9.3% | 1 |
| 9/30/2016 | 12.4% | 9.0% | 1 |
| 10/28/2016 | 13.6% | 11.5% | 1 |
| 11/25/2016 | 3.5% | 5.9% | 0 |
| 12/30/2016 | 2.7% | 4.6% | 0 |
| 1/27/2017 | 1.6% | 2.1% | 0 |
Still early days on these tranches - but not a pattern I am thrilled to see.
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