November Performance Update

November Performance Update
Photo by SpaceX / Unsplash

Overview & Performance Since March, 2024

November has been a standout month, with our strategies delivering returns of 9.55%, 18.9%, and 28.04%, significantly outperforming the benchmark index at 5.5%. Even more exciting, our strategies transitioned to a "Risk On" positioning in October, validating our in-house signal that has been under development and testing since March. This live performance firmly reinforces our ability to outperform the indices.


Looking ahead, we’re introducing Version 2 of our algorithms, featuring enhanced behavior during bear markets. These updates won’t impact live performance so V2 will replace V1. They are part of ongoing efforts to improve robustness. Additionally, we’ll be sharing more detailed metrics as part of our December update.

Low Medium High S&P 500 Nasdaq 100
Cumulative Returns 15.21% 23.69% 32.28% 18.24% 16.00%
MTD Returns 9.55% 18.90% 28.04% 5.61% 5.23%
Sharpe 2.05 1.92 1.84 1.73 1.18
Volatility 9.37% 15.27% 21.43% 13.32% 18.10%
WTD Returns -0.39% -0.83% -1.16% 1.07% 0.74%
1D Returns 0.65% 1.10% 1.52% 0.43% 0.90%
Yield 2.23% 1.50% 0.12% 1.16% 0.60%

Low Vol Strategy

Weight Yield Alternative Symbols
BIL 30.34% 5.14% ['BOXX']
BTCUSD 21.39% 0.00% ['IBIT', 'GBTC', 'FBTC']
DBA 13.65% 3.95% ['PDBA']
GLD 7.60% 0.00% ['IAU']
TECL 13.56% 0.30% ['TQQQ']
TLT 0.00% 3.91% ['VGLT', 'EDV']
UUP 0.00% 6.67% ['USD', 'DXY']
XLK 13.47% 0.67% ['QQQ']

Medium Vol Strategy

Weight Yield Alternative Symbols
BIL 27.53% 5.14% ['BOXX']
BTCUSD 44.36% 0.00% ['IBIT', 'GBTC', 'FBTC']
DBA 0.00% 3.95% ['PDBA']
GLD 0.00% 0.00% ['IAU']
TECL 28.12% 0.30% ['TQQQ']
TLT 0.00% 3.91% ['VGLT', 'EDV']
UUP 0.00% 6.67% ['USD', 'DXY']
XLK 0.00% 0.67% ['QQQ']

High Vol Strategy

Weight Yield Alternative Symbols
BIL 0.00% 5.14% ['BOXX']
BTCUSD 60.89% 0.00% ['IBIT', 'GBTC', 'FBTC']
DBA 0.00% 3.95% ['PDBA']
GLD 0.00% 0.00% ['IAU']
TECL 39.11% 0.30% ['TQQQ']
TLT 0.00% 3.91% ['VGLT', 'EDV']
UUP 0.00% 6.67% ['USD', 'DXY']
XLK 0.00% 0.67% ['QQQ']

Disclaimer:

The above is intended for research purposes only and is not trading or financial advice