2024 Recap and Portfolio YTD update.
Portfolio positions and weights at the bottom.
January 2025 YTD
First, a quick update: Our strategies have aggressively reduced risk, which has helped us stay positive for the year, with gains of 2% to 5%, even as the broader indexes are down. With only a 40% correlation to the market, there will be times when we don't fully participate in market moves—whether up or down—by design.
2024 Recap
Over the past nine months, we've been validating our strategies while simultaneously building out our backend infrastructure. With sufficient time and trades to establish statistical significance, we've confirmed the outperformance of our strategies and validated the core signals used in v2. The high vol v2 returned 27.47% during live tests and 44.82% for the year firmly beating the benchmarks in both absolute and risk adjusted returns.
Below shows the monthly performance of the High Vol strategy . 
- Our High Vol strategy consistently demonstrates positive returns in many months where the Nasdaq 100 is flat or negative.
- The strategy’s risk management is evident in its ability to mitigate losses during market downturns, as seen in the negative months for the Nasdaq.
- This performance validates our approach, which focuses on lower correlation to the market and emphasizes systematic, data-driven signals.
And here is yearly
- Our High Vol strategy significantly outperformed the Nasdaq 100 in key years, such as 2016, 2020, and 2023, demonstrating its ability to capture outsized returns during favorable market conditions.
- Importantly, in years where the Nasdaq experienced low or negative returns, the strategy showed resilience, often delivering positive or superior relative performance.
- This consistent outperformance highlights the robustness of our approach, particularly in managing risk while still capturing opportunities for high returns.
Looking ahead, we plan on release v3, which leverages a unique momentum signal to further enhance performance. V3 is designed to address some of the limitations identified in V2 while providing complementary strengths that improve returns during the low risk mode. We’re planning to bring resilience to our strategies as we continue refining our approach to deliver consistent, risk-adjusted returns
Overview & Performance Since March, 2024
| Low Vol V2 | Medium Vol V2 | High Vol V2 | S&P 500 | Nasdaq 100 | |
|---|---|---|---|---|---|
| Cumulative Returns | 15.06% | 24.39% | 34.00% | 14.61% | 15.69% |
| Sharpe | 1.56 | 1.49 | 1.53 | 1.30 | 1.01 |
| Volatility | 10.84% | 18.06% | 24.19% | 12.80% | 18.42% |
| Downside Volatility | 7.18% | 11.08% | 14.49% | 9.15% | 13.28% |
| Max Drawdown | -6.32% | -10.36% | -11.63% | -8.39% | -13.56% |
| YTD Returns | 2.47% | 5.33% | 5.13% | -0.95% | -0.79% |
| MTD Returns | 2.47% | 5.33% | 5.13% | -0.95% | -0.79% |
| WTD Returns | 0.18% | 0.75% | 0.46% | -1.94% | -2.20% |
| 1D Returns | -0.32% | -0.32% | -0.32% | -1.53% | -1.57% |
| Yield | 2.33% | 2.33% | 2.33% | 1.22% | 0.60% |
Total Performance
| Low Vol V2 | Medium Vol V2 | High Vol V2 | S&P 500 | Nasdaq 100 | |
|---|---|---|---|---|---|
| CAGR | 25.44% | 41.82% | 61.50% | 12.71% | 17.97% |
| Cumulative Returns | 931.12% | 3546.59% | 13793.50% | 242.53% | 448.14% |
| Sharpe | 1.95 | 2.02 | 1.91 | 0.77 | 0.87 |
| Volatility | 11.98% | 18.10% | 27.08% | 17.51% | 21.67% |
| Downside Volatility | 7.41% | 10.67% | 16.48% | 12.54% | 15.36% |
| Max Drawdown | -12.99% | -14.01% | -25.04% | -33.72% | -35.12% |
| YTD Returns | 2.47% | 5.33% | 5.13% | -0.95% | -0.79% |
| MTD Returns | 2.47% | 5.33% | 5.13% | -0.95% | -0.79% |
| WTD Returns | 0.18% | 0.75% | 0.46% | -1.94% | -2.20% |
| 1D Returns | -0.32% | -0.32% | -0.32% | -1.53% | -1.57% |
| Yield | 2.33% | 2.33% | 2.33% | 1.22% | 0.60% |
Low Vol V2 Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 0.00% | 5.02% | [BOXX] |
| GLD | 18.09% | 0.00% | [IAU] |
| XLK | 31.48% | 0.67% | [QQQ] |
| UUP | 17.89% | 4.42% | [USDU] |
| BTCUSD | 0.00% | 0.00% | [IBIT, GBTC, FBTC] |
| DBA | 32.54% | 4.10% | [PDBA] |
| TECL | 0.00% | 0.30% | [TQQQ] |
| TLT | 0.00% | 4.39% | [VGLT, EDV] |
Medium Vol V2 Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 0.00% | 5.02% | [BOXX] |
| GLD | 18.09% | 0.00% | [IAU] |
| XLK | 31.48% | 0.67% | [QQQ] |
| UUP | 17.89% | 4.42% | [USDU] |
| BTCUSD | 0.00% | 0.00% | [IBIT, GBTC, FBTC] |
| DBA | 32.54% | 4.10% | [PDBA] |
| TECL | 0.00% | 0.30% | [TQQQ] |
| TLT | 0.00% | 4.39% | [VGLT, EDV] |
High Vol V2 Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 0.00% | 5.02% | [BOXX] |
| GLD | 18.09% | 0.00% | [IAU] |
| XLK | 31.48% | 0.67% | [QQQ] |
| UUP | 17.89% | 4.42% | [USDU] |
| BTCUSD | 0.00% | 0.00% | [IBIT, GBTC, FBTC] |
| DBA | 32.54% | 4.10% | [PDBA] |
| TECL | 0.00% | 0.30% | [TQQQ] |
| TLT | 0.00% | 4.39% | [VGLT, EDV] |
Disclaimer:
The above is intended for research purposes only and is not trading or financial advice