Overview & Performance Since March, 2024
Market volatility has continued to increase, affecting various indices and strategies differently. The Nasdaq is now down 3.35% for the month, while our strategies have fared better, declining only 0.66%. This contrast is particularly notable given the Nasdaq's recent performance. A few weeks ago, we observed that the Nasdaq had abnormally high risk-adjusted returns, with a Sharpe ratio exceeding 2. However, this measure has since decreased substantially to 0.87 as returns have fallen and volatility has increased.
Our risk-off strategy has proven resilient in this environment. By maintaining diversification across most major sectors of the economy, with the exception of long-duration bonds, we've managed to limit our drawdown to just under 2%. This performance stands in stark contrast to the Nasdaq's more significant 8.89% decline.
| Low | Medium | High | S&P 500 | Nasdaq 100 | |
|---|---|---|---|---|---|
| Cumulative Returns | 3.36% | 1.04% | -0.64% | 7.12% | 5.43% |
| MTD Returns | -0.66% | -0.66% | -0.66% | -0.03% | -3.35% |
| Sharpe | 1.14 | 0.34 | -0.10 | 1.59 | 0.87 |
| Volatility | 7.39% | 8.51% | 10.44% | 11.04% | 16.58% |
| WTD Returns | -0.27% | -0.27% | -0.27% | -0.83% | -2.56% |
| 1D Returns | 0.38% | 0.38% | 0.38% | 1.11% | 0.88% |
| Yield | 3.77% | 3.77% | 3.77% | 1.26% | 0.63% |
Low Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 32.25% | 5.63% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.71% | 4.42% | ['PDBA'] |
| GLD | 14.37% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.34% | ['TQQQ'] |
| TLT | 0.00% | 4.12% | ['VGLT', 'EDV'] |
| UUP | 14.15% | 6.91% | ['USD', 'DXY'] |
| XLK | 20.52% | 0.70% | ['QQQ'] |
Medium Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 32.25% | 5.63% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.71% | 4.42% | ['PDBA'] |
| GLD | 14.37% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.34% | ['TQQQ'] |
| TLT | 0.00% | 4.12% | ['VGLT', 'EDV'] |
| UUP | 14.15% | 6.91% | ['USD', 'DXY'] |
| XLK | 20.52% | 0.70% | ['QQQ'] |
High Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 32.25% | 5.63% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.71% | 4.42% | ['PDBA'] |
| GLD | 14.37% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.34% | ['TQQQ'] |
| TLT | 0.00% | 4.12% | ['VGLT', 'EDV'] |
| UUP | 14.15% | 6.91% | ['USD', 'DXY'] |
| XLK | 20.52% | 0.70% | ['QQQ'] |
Disclaimer:
The above is intended for research purposes only and is not trading or financial advice