5-31 Performance and Position Update

Overview

As always, the position update is at the end of the email. The strategies have switched back into the risk off mode.

This past week, the markets experienced significant volatility, which coincided with our adoption of a risk-on state beginning May 23. While the ideal scenario post-transition to a risk-on state would be immediate large positive returns, market conditions have not aligned with this expectation. The algorithm behind our risk switch has switched back to a low risk state. The strategies were designed to minimize drawdowns and will default to a risk off state if there is uncertainty in our risk signal. We may be in a scenario were we vacillate between modes until a clear market direction is apparent.

This week we wanted to highlight our end of month returns going back until 2015. Of note there are times with multiple months of minimal or slightly negative returns and then strong months when a market direction becomes clear.

Low Volatility Strategy

The low volatility strategy does the best with choppy market conditions and has equaled the S&P's performance but with much less volatility. Up 8.83% year to date.

Medium Volatility Strategy

The medium volatility strategy is under-performing the Nasdaq mainly due to this last week. We don't expect out-performance in all scenarios but are hopeful for the coming months. The strategy is now up 10.22% year to date

High Volatility Strategy

The high volatility strategy is now slightly negative since going live on 3-1 but still up 12.14% year to date.

Position Update

GLD 14%

DBA 20%

UUP 14%

BIL 32%

XLK 20%