Paper Portfolio Feedback
The Modified Enhanced Strategy is working – see the results of the MeB portfolios.
The Alsi gain for the year to 30 September was 9.7%. NPN’s gain for the same period was 45.0%. If NPN’s results are excluded from the Alsi gains, the rest of the Alsi gained only 2.2% for the period. The only way you could have achieved a positive alpha to date was to have over-weighted your holding of NPN. This is not wise as you cannot ignore the risk element when constructing a portfolio. We will have to live with this situation in 2017.
Strategy works. Picking does not work. You must get your weighting right though.
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