The Newcastle fight-back against Spurs cost me this weekend. Looks like Kev’ means business after all.

The Aggressive Fund stood by it’s name as it lost almost 12% this week, though it did gain 24% for the month of March. This fund is an incarnation of the algorithm which started in September 07. It hasn’t changed much since and I don’t amend it now, I keep it going for the sake of history. I don’t think it will ever get back on target as, in hindsight, it was too structured toward historic results; i.e. ignored ‘what if’ scenarios.

The Balanced Fund lost just over 1% on the week which is pleasing given the lay of Newcastle and subsequent loss at odds of 6.4. For March, the Balanced Fund managed a gain of 19.36% which although less than the Aggressive Fund is a respectable gain given the lower volatility and risk of loss.

The Trading Fund returned a loss of 5.59% for the week and a gain of 21.49% for the month.

I have been back to the drawing board with the algorithm with the aim of reducing risk and improving returns. I’m pleased to say i’ve managed to do both - with historic results at least! And with more live prices and results in the model this only adds to the reliability of the results.

I now consider 3 metrics when judging performance of the model: % P&L, yield and maximum exposure. The maximum exposure is intended to take care of the ‘Black Swan’ scenario which could see the fund wiped out from just one game. The latest incarnation of the Balanced Fund has an historic max exposure of 21%. That is to say, the most which could have been lost on any one bet was 21% of the fund. Whilst that is still high, the event would likely be at similar odds to Derby beating Man U at Old Trafford. If we all live long enough this will happen but there should be plenty of gains in between these very rare events in the meantime.

Weekly movement in Aggressive Fund: -11.87%

Days ahead/(behind) target (began 29/9/07): -145 days

Weekly movement in Balanced Fund: -1.02%

Days ahead/(behind) target (began 23/2/08): +19 days

Weekly movement in Trading Fund: -5.59%

Days ahead/(behind) target (began 23/2/08): +64 days