5-24 Performance and Position Update

Thursday was the first time since going live that our strategies have switched to the risk on mode. We close and enter our positions on market open which in this case turned out to be pretty disadvantageous as the market initially cheered Nvidia's rather astonishing results and then promptly sold off. Two days isn't enough to judge and our risk on/off signal may flip back and forth a few times so we will need more time to see how this works out.

The graph above is a semi-log graph of a new version of our Medium Volatility strategy that we are working on. The red portions represent when the strategy is in risk-on mode, and the blue portions indicate risk-off mode. Notice that the algorithm sometimes quickly exits risk-on mode if conditions become unfavorable. We don't know what will happen this time, but we are looking forward to finding out.

Low Volatility Strategy

Our low volatility strategy has managed to stay ahead of the both the Nasdaq and S&P 500. If this risk on mode isn't a false start this strategy will fall behind the others however if it is a false start the low volatility strategy will likely come out ahead.

Medium Volatility Strategy

The medium volatility strategy is almost exactly matching the Nasdaq. This strategy has historically offered the highest risk adjusted returns.

High Volatility Strategy

Positions

See our Wednesday night post here for the latest positions and weights.

As always please email us with any suggestions at origin@originholdings.net.