Overview & Performance Since March, 2024
Quick housekeeping note: We plan to move the weekly updates from Friday evening to Monday morning to prevent them from getting lost in the weekend shuffle.
Realized volatility remains quite low, although it has recently ticked up for the Nasdaq, consequently decreasing the Sharpe ratio. Our strategy utilizes volatility, among other measures, to choose assets. So far, nothing has indicated that we should change our asset mix
| Low | Medium | High | S&P 500 | Nasdaq 100 | |
|---|---|---|---|---|---|
| Cumulative Returns | 4.05% | 1.71% | 0.02% | 7.15% | 9.08% |
| MTD Returns | 0.84% | 0.82% | 1.35% | 3.46% | 6.53% |
| Sharpe | 1.70 | 0.64 | 0.06 | 2.10 | 1.82 |
| Volatility | 7.24% | 8.64% | 10.93% | 10.22% | 15.10% |
| WTD Returns | -0.71% | -0.71% | -0.71% | -0.08% | -0.09% |
| 1D Returns | 0.13% | 0.13% | 0.13% | -0.41% | -0.54% |
| Yield | 3.60% | 3.60% | 3.60% | 1.26% | 0.60% |
Low Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 32.05% | 5.20% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.52% | 4.44% | ['PDBA'] |
| GLD | 13.91% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.29% | ['TQQQ'] |
| TLT | 0.00% | 3.86% | ['VGLT', 'EDV'] |
| UUP | 14.21% | 6.84% | ['USD', 'DXY'] |
| XLK | 21.32% | 0.67% | ['QQQ'] |
Medium Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 32.05% | 5.20% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.52% | 4.44% | ['PDBA'] |
| GLD | 13.91% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.29% | ['TQQQ'] |
| TLT | 0.00% | 3.86% | ['VGLT', 'EDV'] |
| UUP | 14.21% | 6.84% | ['USD', 'DXY'] |
| XLK | 21.32% | 0.67% | ['QQQ'] |
High Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 32.05% | 5.20% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.52% | 4.44% | ['PDBA'] |
| GLD | 13.91% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.29% | ['TQQQ'] |
| TLT | 0.00% | 3.86% | ['VGLT', 'EDV'] |
| UUP | 14.21% | 6.84% | ['USD', 'DXY'] |
| XLK | 21.32% | 0.67% | ['QQQ'] |
Disclaimer:
The above is intended for research purposes only and is not trading or financial advice