5-17 Performance and Position Update

Welcome to our first weekly performance and position update. Over time, we plan to streamline and standardize this information. We greatly appreciate any feedback you may have; please send it to origin@originholdings.net.

In this post, you'll find an update on our live performance, which began on March 1st. Below that, we provide data from our backtest that started in January 2014. Finally, at the end of this update, you will find details on our current positions.

Live Performance Update

All three strategies have been operating in the same low-risk mode since live testing began on March 1st. Our expectations for this mode are low volatility and moderate returns. The graph above shows that we have outperformed the QQQ's (Nasdaq) return of 3.04% with our own return of 4.18% since March 1st. We also effectively avoided the drawdown in April.

Our volatility has been a remarkably low 7%, compared to the Nasdaq's 16%. Typically, the Nasdaq's volatility is closer to 22%. Our Sharpe ratio—a key measure of risk-adjusted returns—has been 2.72 since March. While we anticipate this figure might decrease over time, we are very pleased with the results. They indicate that we have achieved excellent returns for the level of risk taken.

Low Volatility Strategy - SPX benchmark

Medium Volatility Strategy - QQQ Benchmark

High Volatility Strategy - QQQ Benchmark

Position Update

Currently, all strategies maintain the same positions with identical weights. That concludes our update for now. Once our strategies shift to "risk on" mode, you will see significant differentiation in both positions and position sizes. We will provide timely updates should there be any changes.