Strategy & Portfolio Updates as of 2024-06-07
Overview & Performance Since March, 2024
Over the past few weeks, we have been working to standardize our weekly updates. From now on, we will report the performance starting from our live date on March 1st, 2024. Below, you'll find a table that presents cumulative returns, returns for the current month, week, and day, as well as the Sharpe ratio and volatility for our Low, Medium, and High strategies. We also include comparative performance metrics against the S&P 500 and the Nasdaq. The final row of the table shows the yield for each strategy, based on the current portfolio composition.
In a relatively choppy environment the low volatility strategy is providing the best risk adjusted returns with a Sharpe of 1.85. Especially notable is the S&P 500 and Nasdaq’s sharpes of 1.66 and 1.28 respectively. This is over double the average for the S&P 500 and close to double for the Nasdaq. Unusual times that will not last. The cautious nature of the algorithms behind our strategies may keep us flipping back and forth for a while until a clear direction presents itself
| Low | Medium | High | S&P 500 | Nasdaq 100 | |
|---|---|---|---|---|---|
| Cumulative Returns | 3.76% | 1.43% | -0.25% | 4.92% | 5.30% |
| MTD Returns | 0.56% | 0.54% | 1.07% | 1.31% | 2.84% |
| Sharpe | 1.85 | 0.62 | -0.02 | 1.66 | 1.28 |
| Volatility | 7.42% | 9.04% | 11.66% | 10.91% | 15.64% |
| WTD Returns | 0.56% | 0.54% | 1.07% | 1.31% | 2.84% |
| 1D Returns | -0.46% | -0.46% | -0.46% | -0.11% | -0.11% |
| Yield | 3.41% | 3.41% | 3.41% | 1.28% | 0.58% |
Low Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 32.04% | 5.16% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 19.78% | 3.81% | ['PDBA'] |
| GLD | 13.73% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.28% | ['TQQQ'] |
| TLT | 0.00% | 3.87% | ['VGLT', 'EDV'] |
| UUP | 14.08% | 6.09% | ['USD', 'DXY'] |
| XLK | 20.37% | 0.71% | ['QQQ'] |
Medium Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 32.04% | 5.16% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 19.78% | 3.81% | ['PDBA'] |
| GLD | 13.73% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.28% | ['TQQQ'] |
| TLT | 0.00% | 3.87% | ['VGLT', 'EDV'] |
| UUP | 14.08% | 6.09% | ['USD', 'DXY'] |
| XLK | 20.37% | 0.71% | ['QQQ'] |
High Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 32.04% | 5.16% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 19.78% | 3.81% | ['PDBA'] |
| GLD | 13.73% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.28% | ['TQQQ'] |
| TLT | 0.00% | 3.87% | ['VGLT', 'EDV'] |
| UUP | 14.08% | 6.09% | ['USD', 'DXY'] |
| XLK | 20.37% | 0.71% | ['QQQ'] |
Disclaimer:
The above is intended for research purposes only and is not trading or financial advice